Tests for parameter instability in dynamic factor models

DOI10.1017/S0266466614000486zbMATH Open1441.62722OpenAlexW3121527236MaRDI QIDQ3453252FDOQ3453252

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

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

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
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
A well-conditioned estimator for large-dimensional covariance matrices
Tests for Parameter Instability and Structural Change With Unknown Change Point
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
Automatic Lag Selection in Covariance Matrix Estimation
Testing for structural breaks in dynamic factor models
Efficient estimation of factor models

Cited In (40)

Detecting changes in correlation networks with application to functional connectivity of fMRI data
Testing for common breaks in a multiple equations system
Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
Two sample tests for high-dimensional autocovariances
On testing for structural break of coefficients in factor-augmented regression models
Testing for structural changes in factor models via a nonparametric regression
Estimating and testing high dimensional factor models with multiple structural changes
Testing for structural changes in large dimensional factor models via discrete Fourier transform
Testing against constant factor loading matrix with large panel high-frequency data
Tests of equal accuracy for nested models with estimated factors
Estimation of large dimensional factor models with an unknown number of breaks
Robust test for structural instability in dynamic factor models
Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
Testing for structural stability of factor augmented forecasting models
Testing and estimating change-points in the covariance matrix of a high-dimensional time series
Likelihood-based specification tests for dynamic factor models
Estimation and inference of change points in high-dimensional factor models
Comments on: ``Extensions of some classical methods in change point analysis
On time-varying factor models: estimation and testing
Detection of Multiple Structural Breaks in Large Covariance Matrices
The likelihood ratio test for structural changes in factor models
State-Varying Factor Models of Large Dimensions
Online change-point detection for matrix-valued time series with latent two-way factor structure
Estimation and Inference on Time-Varying FAVAR Models
Detecting big structural breaks in large factor models
Testing for structural breaks in dynamic factor models
Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
Estimating change-point latent factor models for high-dimensional time series
Testing for factor loading structural change under common breaks
Sequential testing for structural stability in approximate factor models
Testing for time-varying factor loadings in high-dimensional factor models
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 the null of block zero restrictions in common factor models
Estimating the common break date in large factor models
Shrinkage estimation of multiple threshold factor models
Reprint of: The likelihood ratio test for structural changes in factor models
Testing for sparse idiosyncratic components in factor-augmented regression models
Identification and estimation of a large factor model with structural instability
Least squares estimation of large dimensional threshold factor models

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