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High Dimensional Threshold Factor Models with Common Stochastic Trends
49/49 checkable references clean · checked 2026-08-27
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 49 checked references that resolve
resolves10.1016/j.jeconom.2003.10.022
Estimating cross-section common stochastic trends in nonstationary panel data
resolves10.1080/01621459.2022.2128807
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
resolves10.1016/j.jeconom.2013.04.014
Consistent factor estimation in dynamic factor models with structural instability
resolves10.1016/j.jeconom.2014.04.011
Testing for structural stability of factor augmented forecasting models
resolves10.2307/1912559
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
resolves10.3386/w32068
Principal Component Analysis for a Mix of Stationary and Nonstationary Variables
resolves10.1016/j.jeconom.2019.01.005
Testing for randomness in a random coefficient autoregression model
resolves10.1016/j.jfineco.2014.07.001
Conditional risk premia in currency markets and other asset classes
resolves10.1016/j.jeconom.2016.11.001
Least squares estimation of large dimensional threshold factor models
resolves10.1093/jjfinec/nbaa046
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity
resolves10.1016/j.ijforecast.2022.12.004
Forecasting in factor augmented regressions under structural change
resolves10.1016/j.jeconom.2006.11.002
A smoothed least squares estimator for threshold regression models
resolves10.1007/BF01961320
A general moment inequality for the maximum of the rectangular partial sums of multiple series
resolves10.1007/s10463-007-0152-2
Conditional independence, conditional mixing and conditional association
The 37 references without a DOI — listed, not checked
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no DOI — not checkedConsistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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no DOI — not checkedPutting the price in asset pricing
no DOI — not checkedref24
no DOI — not checkedFuzzy and randomized confidence intervals and p-values
no DOI — not checkedEndogeneity in semiparametric threshold regression
no DOI — not checkedref35
no DOI — not checkedFactor-driven two-regime regression
no DOI — not checkedref39
no DOI — not checkedShrinkage estimation of multiple threshold factor models
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no DOI — not checkedEstimation of high dimensional factor model with multiple threshold-type regime shifts
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no DOI — not checkedConsistency and limiting distribution of the least squares estimator of a threshold autoregressive model
no DOI — not checkedref78
no DOI — not checkedInequalities for spreads of matrix sums and products
no DOI — not checkedNonuniform central limit bounds with applications to probabilities of deviations
no DOI — not checkedInequalities and limit theorems for weakly dependent sequences
no DOI — not checkedElephants can always remember: Exact long-range memory effects in a non-markovian random walk
no DOI — not checkedref91
no DOI — not checkedMaximal inequalities for partial sums of ?-mixing sequences
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