4 papers
Main Effect Factor Models in High-Dimensional Matrix Time Series: Identification and Sparsity
Zetai Cen, Kaixin Liu, Clifford Lam
We propose a general identification framework for main effect factor models for matrix-valued time series. The classical sum-to-zero restriction on the row and column main effects…
On Testing Kronecker Product Structure in Tensor Factor Models
Zetai Cen, Clifford Lam
We propose a test for testing the Kronecker product structure of a factor loading matrix implied by a tensor factor model with Tucker decomposition in the common component. Through…
Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
Zetai Cen, Yudong Chen, Clifford Lam
We analyze a varying-coefficient dynamic spatial autoregressive model with spatial fixed effects. One salient feature of the model is the incorporation of multiple spatial weight m…
Matrix-valued Factor Model with Time-varying Main Effects
Clifford Lam, Zetai Cen
We introduce the matrix-valued time-varying Main Effects Factor Model (MEFM). MEFM is a generalization to the traditional matrix-valued factor model (FM). We give rigorous definiti…