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econ.EM2022★ 6 cited
Likelihood ratio test for structural changes in factor models
Jushan Bai, Jiangtao Duan, Xu Han
A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effect…
econ.EM2021★ 1 cited
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Jiangtao Duan, Jushan Bai, Xu Han
This paper estimates the break point for large-dimensional factor models with a single structural break in factor loadings at a common unknown date. First, we propose a quasi-maxim…
econ.EM2020
An Upper Bound for Functions of Estimators in High Dimensions
Mehmet Caner, Xu Han
We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high…