Inference for time-varying factor models under local stationarity
局部平稳条件下时变因子模型的推断AI 解读 ↓
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局部平稳条件下时变因子模型的推断AI 解读 ↓
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This paper considers estimation of and testing for a class of locally stationary time series factor models with evolutionary dynamics, where the entries and dimension of the factor loading matrix are allowed to vary with time while the factors and idiosyncratic components are locally stationary. We propose an adaptive sieve estimator for the span of the time-varying loading matrix of a locally stationary factor process. A uniformly consistent estimator of the effective number of factors is developed via eigenanalysis of a non-negative definite time-varying matrix. We also propose a possibly high-dimensional bootstrap test for the hypothesis of constant factor loadings by comparing the kernels of the covariance matrices of the whole time series with their local counterparts. This test avoids the assumption that factors and idiosyncratic errors are stationary or the covariance matrix of factors is time-invariant. Our results cover both cases of white noise idiosyncratic errors and serially correlated idiosyncratic errors. We examine the finite sample performance of our proposed estimator and test via simulation studies and real data analysis.
高维时间序列的自回归筛自助法
This paper proposes a new AR-sieve bootstrap approach to high-dimensional time series. The major challenge of classical bootstrap methods on high-dimensional time series is two-fold: curse of dimensionality and temporal dependence. To address such a difficulty, we utilize factor modeling to reduce dimension and capture temporal dependence simultaneously. A factor-based bootstrap procedure is constructed, which performs an AR-sieve bootstrap on the extracted low-dimensional…
高维时间序列时变网络的估计
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs are investigated: one containing directed edges of Granger causality linkages, and the other containing undirected edges of partial correlation linkages. Under the sparse structural assumption, we propose a penalised local linear method…
高维时间序列的时变网络估计
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs are investigated: one containing directed edges of Granger causality linkages, and the other containing undirected edges of partial correlation linkages. Under the sparse structural assumption, we propose a penalised local linear method…
特异成分服从稀疏 VAR 的因子模型
We reconcile the two worlds of dense and sparse modeling by exploiting the positive aspects of both. We employ a factor model and assume {the dynamic of the factors is non-pervasive while} the idiosyncratic term follows a sparse vector autoregressive model (VAR) {which allows} for cross-sectional and time dependence. The estimation is articulated in two steps: first, the factors and their loadings are estimated via principal component analysis and second, the sparse VAR is…
收缩与稀疏估计的贝叶斯方法
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference is the norm in several fields of applied econometric work. The purpose of this paper is to introduce the reader to the world of Bayesian model determination, by surveying modern shrinkage and variable selection algorithms and methodologies.…
Summary The problem of detecting change points in the mean of high dimensional panel data with potentially strong cross-sectional dependence is considered. Under the assumption that the cross-sectional dependence is captured by an unknown number of common factors, a new CUSUM-type statistic is proposed. We derive its asymptotic properties under three scenarios depending on to what extent the common factors are asymptotically dominant. With panel data consisting of N cross…