Factor-augmented regression models with structural change

Wang Shaoping; Cui Guowei; Li Kunpeng

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Factor-augmented regression models with structural change

机译：具有结构变化的因子增强回归模型

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摘要

This paper considers a factor-augmented regression model in the presence of structural change. We propose a two-step procedure to estimate the coefficients of explanatory variables. We show that when the number of units (N) and the number of periods (T) are large and comparable, the proposed two-step estimator is root T-consistent and has the same limiting distribution as if the unobservable factors were observed. Monte Carlo simulations confirm our theoretical results and show good finite sample performance of the two-step estimator. (C) 2015 Elsevier B.V. All rights reserved.

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来源
《Economics letters》 |2015年第5期|124-127|共4页
作者
Wang Shaoping; Cui Guowei; Li Kunpeng;
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作者单位

Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Peoples R China;

Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Peoples R China;

Capital Univ Econ & Business, Int Sch Econ & Management, Beijing, Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Structural change; Factor-augmented regression; Two-step estimation; Limiting distribution;

机译：结构变化;因子增强回归;两步估计;极限分布;

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2. NONLINEAR FACTOR-AUGMENTED PREDICTIVE REGRESSION MODELS WITH FUNCTIONAL COEFFICIENTS [J] . Journal of Time Series Analysis . 2020,第3期

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3. CCE estimation of factor-augmented regression models with more factors than observables [J] . Karabiyik Hande, Urbain Jean-Pierre, Westerlund Joakim Journal of applied econometrics . 2019,第2期

机译：因子增强的回归模型的CCE估计，其因子多于可观察值
4. Analysis of structural change point in multivariate regression models: An application on IT productivity impact [C] . Simon K. Poon, Gary Fan, Josiah Poon, IEEE International Conference on Computer and Information Technology Workshops . 2008

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5. Parameter non-constancy in linear regression: Applications of threshold regression and structural change models. [D] . Adachi, Kenji. 2010

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6. Inference regarding multiple structural changes in linear models with endogenous regressors [O] . Alastair R. Hall, Sanggohn Han, Otilia Boldea -1

机译：关于具有内生回归变量的线性模型中多个结构变化的推断
7. Bootstrapping factor-augmented regression models [O] . Sílvia Gonçalves, Benoit Perron 2011

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Factor-augmented regression models with structural change

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