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Econometrics and Applied Economics workshops

Daniele Massacci (Bank of England)

16:15 - 17:45 19 April 2018

Title: Testing for Regime Changes in Large Dimensional Factor Models Abstract: We develop a new test for regime changes in large dimensional threshold factor models. We rely on an auxiliary threshold regression by taking a weighted cross-sectional average of the factor model: we estimate the factors from the original model under the null hypo..

Camille Landais (LSE)

16:15 - 17:45 26 April 2018

Title and Abstract: TBC

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