通过交叉验证确定高维因子模型中的中断数

IF 0.7 4区经济学 Q3 ECONOMICS Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-11-07 DOI:10.1515/snde-2022-0037

Ruichao Zhou, Lu Wang, Jianhong Wu

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引用次数: 0

摘要

摘要提出了一种交叉验证方法来估计高维因子模型中的断裂数。采用交叉验证方法时，为了保持原有的变更结构，采用了奇偶分离策略。在一些温和的条件下，建立了估计量的相合性。仿真结果表明，该方法具有良好的有限样本性能，特别是与需要预先确定调谐参数的方法相比。

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Determination of the Number of Breaks in High-Dimensional Factor Models via Cross-Validation

Abstract This paper proposes a cross-validation method to estimate the number of breaks in high-dimensional factor models. To preserve the original change structure, the parity-splitting strategy is adopted when employing the cross-validation method. The consistency of the estimator is established under some mild conditions. Simulation results show desired finite sample performance of the proposed method, especially in comparison with methods that need to predetermine the tuning parameters.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.