Download or read book Dynamic Semiparametric Factor Model with a Common Break written by Likai Chen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Semiparametric Factor Model with Structural Breaks written by Likai Chen and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading functions of covariates. The unknown structural break in time models the regime switching effects introduced by exogenous shocks. In particular, the factors are assumed to be nonstationary and follow a Vector Autoregression (VAR) process with a structural break. In addition, to account for the known spatial discrepancies, we introduce discrete loading functions. We study the theoretical properties of the estimates of the loading functions and the factors. Moreover, we provide both the consistency and the asymptotic convergence results for making inference on the common breakpoint in time. The estimation precision is evaluated via a simulation study. Finally we present two empirical illustrations on modeling the dynamics of the minimum wage policy in China and analyzing a limit order book dataset.

Download or read book A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics written by Matthias R. Fengler and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Large Dimensional Factor Analysis written by Jushan Bai and published by Now Publishers Inc. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.

Download or read book Handbook of Econometrics written by and published by Elsevier. This book was released on 2020-11-25 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. - Presents a broader and more comprehensive view of this expanding field than any other handbook - Emphasizes the connection between econometrics and economics - Highlights current topics for which no good summaries exist

Download or read book Semiparametric Modeling of Implied Volatility written by Matthias R. Fengler and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.

Download or read book The Generalized Dynamic Factor Model written by and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests for Parameter Instability in Dynamic Factor Models written by Xu Han and published by . This book was released on 2014 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.

Download or read book The Generalized Dynamic Factor Model written by and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models can cope with many variables without running into scarce degrees of freedom.

Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Download or read book The Generalized Dynamic Factor Model written by Mario Forni and published by . This book was released on 1998 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Generalised Dynamic Factor Model written by and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Factor Models written by Christophe Croux and published by . This book was released on 2004 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Finite Sample Performance of Small Versus Large Scale Dynamic Factor Models written by Rocio Alvarez and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of series belonging to the same category, for oversampled categories and, especially, for high persistence in either the common factor series or the idiosyncratic errors. Using a panel of 147 US economic indicators, which are classified into 13 economic categories, we show that a small scale dynamic factor model that uses one representative indicator of each category yields satisfactory or even better forecasting results than a large scale dynamic factor model that uses all the economic indicator.

Download or read book Psychometric Dynamic Factor Models for the Analysis of Longitudinally Intensive Data written by Dongjun You and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic factor model (DFM), a factor analytic approach developed for the analysis of intra-individual time series data, can be estimated using common structural equation modeling software. The thesis proposes that an independent Random Intercept is an intermediary factor structure between the traditional n and n+1 factor structures researchers could consider in the view of psychological measurement. In addition to allowing researchers to specify complex factor structures for change over time, which do not correspond to traditional notions of simple structure, the random intercept measurement model may constitute an attractive alternative to traditional factor models when data are well summarized by more parsimonious models. Simulations on random intercept DFM were conducted, and the model was applied to a real-world data..

Download or read book Finite sample performance of small versus large scale dynamic factor models written by Rocio Alvarez and published by . This book was released on 2012 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: