TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS

DOI10.1017/S0266466614000486zbMath1441.62722MaRDI QIDQ3453252

Atsushi Inoue, X. Han

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000486

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H15: Hypothesis testing in multivariate analysis

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Cites Work

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