On time-varying factor models: Estimation and testing

Testing slope homogeneity in large panels

M. Hashem Pesaran, Takashi Yamagata · Journal of Econometrics · 2007 · 5.6K citations · Full text

Engineering, Civil Engineering, Geotechnical Engineering +7

Tests for Parameter Instability and Structural Change With Unknown Change Point

Donald W. K. Andrews · Econometrica · 1993 · 4.3K citations

Management, Business Economics, Change Measurement +14

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3.1K citations

Computing, Data Science, Econometrics +12

Convergence of Stochastic Processes.

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Inferential Theory for Factor Models of Large Dimensions

Jushan Bai · Econometrica · 2003 · 1.7K citations

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