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Estimation and inference of dynamic structural factor models with over-identifying restrictions. (2018). Han, XU.
In: Journal of Econometrics.
RePEc:eee:econom:v:202:y:2018:i:2:p:125-147.

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  1. The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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  2. Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan.
    In: Papers.
    RePEc:arx:papers:2206.08052.

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  3. Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho.
    In: Papers.
    RePEc:arx:papers:2202.00310.

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  4. Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

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References

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  2. Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey. (2014). Lütkepohl, Helmut ; Lutkepohl, Helmut.
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  4. Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons. (2013). Choi, In.
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  5. A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets. (2013). GUO-FITOUSSI, Liang .
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  10. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
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  13. Estimation of high-dimensional linear factor models with grouped variables. (2012). Heaton, Chris ; Solo, Victor .
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