15-069/III - Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

  • Authors
    Laurent Callot, VU University Amsterdam, the Netherlands; Johannes Tang Kristensen, University of Southern Denmark, Denmark
  • Publication date
    June 1, 2015
  • Keywords
    Parsimoniously time-varying parameters, factor models, structural break, Lasso
  • JEL
    C01, C13, C32, C38, E32