“Noon Sunshine-Young Scholars Seminar” is a regular academic exchange platform held by School of Finance. It aims to offer valuable occasions of communications among scholars in our college, between teachers and students, the domestic and the oversea. In this semester, we keep our original intention, set off for a new voyage. We will devote ourselves to fostering the academic atmosphere in the college, and promoting the academic level for both teachers and students.

The seventh session of “Noon Sunshine-Young Scholars Seminar” for the Autumn Semester in 2025 is arranged as follows:

Lecture topic

Factor-Augmented Regularized Models with Multiple Structural Breaks

Keynote Speaker: Wang Xia

Date

Thursday, October 30th, 2025

Time

12:00-13:30

Lecture Venue

Room 116, School of Finance

Abstract

This paper introduces a factor-augmented regularized model with multiple structural breaks, designed to jointly capture common and idiosyncratic information while accommodating structural instability in high-dimensional dataset. To address the dual challenges of high dimensionality and instability, we propose a two-stage estimation procedure. In the first stage, we combine the split-sample technique with the adaptive group Lasso to achieve consistent variable selection in the presence of instability, while in the second stage, we employ the group fused Lasso to consistently identify both the number and locations of structural breaks. Two information criteria are provided to guide the selection of tuning parameters in the Lasso-type estimations. We derive the asymptotic distributions of the break fractions and the post-Lasso estimators. Monte Carlo simulations demonstrate the excellent finite-sample performance of the proposed estimators. In an application to forecasting the U.S. industrial production growth rate, our method outperforms competing approaches, highlighting the importance of accommodating idiosyncratic information and structural instability into economic models.