Jushan Bai, Xu Han

Author information

a Department of Economics, Columbia University, New York, NY 10027, USA; School of Finance, Nankai University, Tianjin 300071, China

b Department of Economics and Finance, City University of Hong Kong, Hong Kong, China

E-mail: jb3064@columbia.edu (Jushan Ban), xuhan25@cityu.edu.hk (Xu Han)

Abstract

This paper provides a survey on recent developments in structural changes for high dimensional factor models. Compared with conventional low-dimensional time series, structural changes in factor models are more complicated due to the unobservability of factors and factor loadings. The following topics are covered in this survey: the identification conditions for the structural changes in the factor loadings, different impacts of big and small breaks in factor models, tests for structural changes in the factor loadings of a specific variable, tests for structural changes in the factor loading matrix, joint tests for structural changes in the factor loadings and coefficients in factor-augmented regressions, tests for smooth changes in the factor loadings, estimation of break dates, and model selection in factor models with structural changes via the shrinkage method.

 Keywords

factor models, structural changes, break date 

Cite this article

Jushan Bai, Xu Han. Structural Changes in High Dimensional Factor Models. Front. Econ. China, 2016, 11(1): 9‒39 https://doi.org/10.3868/s060-005-016-0003-9