Abstract This paper considers the estimation of high dimensional factor model with multiple threshold-type regime shifts in factor loadings. Firstly, the number of thresholds is determined by comparing the number of factors in the adjacent subintervals. Secondly, the thresholds are estimated one by one by concentrated least squares, and then the factors and loadings are obtained by the principal component method in the augmented subgroups with a single threshold. Under some regularity conditions, the consistency of these estimators can be obtained. Monte Carlo simulation results demonstrate that the proposed method has desirable performance in finite samples. A real data analysis is carried out for illustration.

中文翻译：

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具有多阈值型态变化的高维因子模型估计

摘要 本文考虑了在因子载荷中具有多个阈值型政权转移的高维因子模型的估计。首先，通过比较相邻子区间中因子的数量来确定阈值的数量。其次，通过集中最小二乘法一一估计阈值，然后在具有单个阈值的增广子组中通过主成分法得到因子和载荷。在一定的规律性条件下，可以得到这些估计量的一致性。Monte Carlo 仿真结果表明，该方法在有限样本中具有较好的性能。为了说明，进行了真实的数据分析。