Regime-switching factor models in which the number of factors defines the regime
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References listed on IDEAS
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- MeiChi Huang, 2019. "A Nationwide or Localized Housing Crisis? Evidence from Structural Instability in US Housing Price and Volume Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1547-1563, April.
More about this item
KeywordsDynamic factor analysis Covariance matrix estimation Correlation matrix estimation;
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