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Sequential testing for structural stability in approximate factor models
Affiliation:1. Department of Economics and Center for Policy Research, Syracuse University, Syracuse, NY, USA;2. Department of Economics, Leicester University, Leicester LE176EE, UK;3. Department of Economics, University of Connecticut, Connecticut, USA;4. School of Economics, Shanghai University of Finance and Economics, Shanghai, China;1. LSE, Department of Statistics, Houghton Street, London WC2A 2AE, UK;2. ECARES, Université libre de Bruxelles, CP114/4 B-1050 Bruxelles, Belgium;1. Department of Statistics, University of California-Riverside, Riverside, CA 92521, United States;2. School of Economics, Singapore Management University, 90 Stamford Road, Singapore 178903, Singapore;1. Department of Statistics, London School of Economics, Houghton Street, London WC2A 2AE, UK;2. School of Mathematics, University of Bristol, University Walk, Bristol, BS8 1TW, UK
Abstract:
Keywords:Large factor model  Change-point  Sequential testing  Randomised tests
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