Tests for parameter instability in dynamic factor models
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Publication:3453252
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Cites work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A well-conditioned estimator for large-dimensional covariance matrices
- Automatic Lag Selection in Covariance Matrix Estimation
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Determining the Number of Factors in Approximate Factor Models
- Efficient estimation of factor models
- Forecasting Using Principal Components From a Large Number of Predictors
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Inferential Theory for Factor Models of Large Dimensions
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Testing for structural breaks in dynamic factor models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
Cited in
(40)- Sequential testing for structural stability in approximate factor models
- State-Varying Factor Models of Large Dimensions
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Detecting big structural breaks in large factor models
- Estimation and Inference on Time-Varying FAVAR Models
- Testing for time-varying factor loadings in high-dimensional factor models
- Comments on: ``Extensions of some classical methods in change point analysis
- Testing against constant factor loading matrix with large panel high-frequency data
- Testing for factor loading structural change under common breaks
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Tests of equal accuracy for nested models with estimated factors
- Two sample tests for high-dimensional autocovariances
- On testing for structural break of coefficients in factor-augmented regression models
- Group fused Lasso for large factor models with multiple structural breaks
- Quasi-maximum likelihood estimation of break point in high-dimensional factor models
- Detecting changes in correlation networks with application to functional connectivity of fMRI data
- Likelihood-based specification tests for dynamic factor models
- Estimation of large dimensional factor models with an unknown number of breaks
- Testing for structural changes in factor models via a nonparametric regression
- Testing for common breaks in a multiple equations system
- Testing for the null of block zero restrictions in common factor models
- Robust test for structural instability in dynamic factor models
- Shrinkage estimation of multiple threshold factor models
- Estimating and testing high dimensional factor models with multiple structural changes
- Testing for structural stability of factor augmented forecasting models
- Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
- On time-varying factor models: estimation and testing
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- 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
- Estimation and inference of change points in high-dimensional factor models
- Estimating change-point latent factor models for high-dimensional time series
- Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
- Testing for structural breaks in dynamic factor models
- Reprint of: The likelihood ratio test for structural changes in factor models
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- The likelihood ratio test for structural changes in factor models
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