Estimation and Inference for High Dimensional Factor Model with Regime Switching
载荷状态切换的高维因子模型:估计与推断
This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the EM (expectation maximization) algorithm, which in the current context only requires iteratively calculating regime probabilities and principal components of the weighted sample covariance matrix. When regime dynamics are taken into account, smoothed regime probabilities are calculated using a…