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