On testing for structural break of coefficients in factor-augmented regression models

DOI10.1016/J.ECONLET.2017.10.001zbMATH Open1401.62229OpenAlexW2766387077MaRDI QIDQ1786799FDOQ1786799

Authors: Sanpan Chen, Guowei Cui, Jianhua Zhang 

Publication date: 25 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.10.001

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• Factor-augmented regression models with structural change
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zbMATH Keywords

asymptotic null distributionfactor-augmented regression modelstructural break test

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
• Consistent factor estimation in dynamic factor models with structural instability
• Tests for parameter instability in dynamic factor models
• Detecting big structural breaks in large factor models
• Testing for structural breaks in dynamic factor models
• Factor-augmented regression models with structural change
• Estimation of heterogeneous panels with structural breaks
• Testing for structural stability of factor augmented forecasting models
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Identification and estimation of a large factor model with structural instability

Cited In (3)

• Specification and structural break tests for additive models with applications to realized variance data
• Factor-augmented regression models with structural change
• Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements

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