Testing for structural stability of factor augmented forecasting models

DOI10.1016/j.jeconom.2014.04.011zbMath1311.62130OpenAlexW2239346152MaRDI QIDQ2451804

Norman R. Swanson, Valentina Corradi

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.04.011

zbMATH Keywords

diffusion indexfactor loading stabilityforecast failureforecast stabilityregression coefficients stability

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (15)

Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Sequential testing for structural stability in approximate factor models ⋮ Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Testing for structural changes in large dimensional factor models via discrete Fourier transform ⋮ Bootstrapping factor-augmented regression models ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Identification and estimation of a large factor model with structural instability ⋮ Testing for common breaks in a multiple equations system ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ On time-varying factor models: estimation and testing ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ Testing for time-varying factor loadings in high-dimensional factor models

Cites Work

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• Pooling of forecasts
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• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
• Modelling methodology and forecast failure
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models

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