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econ.EM2024
A Robust Residual-Based Test for Structural Changes in Factor Models
Bin Peng, Liangjun Su, Yayi Yan
In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smoo…
econ.EM2024
Robust Estimation and Inference for High-Dimensional Panel Data Models
Jiti Gao, Fei Liu, Bin Peng +1
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional p…