Detecting big structural breaks in large factor models

DOI10.1016/j.jeconom.2014.01.006zbMath1298.62145MaRDI QIDQ469568

Jesús Gonzalo, Juan J. Dolado, Liang Chen

Publication date: 11 November 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.01.006

zbMATH Keywords

principal components; structural break; factor loadings; large factor model

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M07: Non-Markovian processes: hypothesis testing

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