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Activity Number: 408
Type: Invited
Date/Time: Tuesday, August 2, 2016 : 2:00 PM to 3:50 PM
Sponsor: International Chinese Statistical Association
Abstract #318400
Title: Threshold Dynamic Factor Models
Author(s): Rong Chen*
Companies: Rutgers University
Keywords: nonlinear ; time series ; high dimensional
Abstract:

Dynamic factor models has been used widely in modeling economic indices and other high-dimensional time series. It is observed that in many applications the underlying time series may be nonlinear. In this paper we study a dynamic factor model in which the factors follow a threshold vector AR model. Estimation procedure and its properties are studied. Model building issues such as threshold variable determination, number of regimes, number of factors and other issues are studied as well. Simulation results and analysis of a real example are presented.


Authors who are presenting talks have a * after their name.

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