Factor-driven two-regime regression

Summary

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Authors: Sokbae Lee, Yuan Liao, Myung Hwan Seo, Youngki Shin

Journal title: The Annals of Statistics

Journal number: Vol 49, no 3

Journal publisher: Institute of Mathematical Statistics

Published year: 2021

DOI identifier: 10.1214/20-aos2017

ISSN: 0090-5364