TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS

DOI10.1017/S0266466614000486zbMath1441.62722OpenAlexW3121527236MaRDI 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

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (30)

Two sample tests for high-dimensional autocovariances ⋮ Sequential testing for structural stability in approximate factor models ⋮ Shrinkage estimation of multiple threshold factor models ⋮ Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion ⋮ Detecting changes in correlation networks with application to functional connectivity of fMRI data ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Quasi-maximum likelihood estimation of break point in high-dimensional factor models ⋮ Testing for structural changes in large dimensional factor models via discrete Fourier transform ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Detecting big structural breaks in large factor models ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Estimating the common break date in large factor models ⋮ Identification and estimation of a large factor model with structural instability ⋮ Least squares estimation of large dimensional threshold factor models ⋮ Testing for common breaks in a multiple equations system ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ Robust test for structural instability in dynamic factor models ⋮ On time-varying factor models: estimation and testing ⋮ Testing for the null of block zero restrictions in common factor models ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series ⋮ Estimating change-point latent factor models for high-dimensional time series ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Comments on: ``Extensions of some classical methods in change point analysis

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A well-conditioned estimator for large-dimensional covariance matrices
• Testing for structural breaks in dynamic factor models
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Automatic Lag Selection in Covariance Matrix Estimation
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Forecasting Using Principal Components From a Large Number of Predictors
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• EFFICIENT ESTIMATION OF FACTOR MODELS
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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