Testing for factor loading structural change under common breaks
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Publication:496159
DOI10.1016/J.JECONOM.2015.06.018zbMATH Open1337.62125OpenAlexW2143402154MaRDI QIDQ496159FDOQ496159
Authors: Yohei Yamamoto, Shinya Tanaka 
Publication date: 18 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26010/070econDP13-17.pdf
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Parametric hypothesis testing (62F03) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Eigenvalue ratio test for the number of factors
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Finite sample multivariate structural change tests with application to energy demand models
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Nonmonotonic power for tests of a mean shift in a time series§
- Title not available (Why is that?)
- Consistent factor estimation in dynamic factor models with structural instability
- Detecting big structural breaks in large factor models
- Testing for structural breaks in dynamic factor models
- Tests for a mean shift with good size and monotonic power
- The Danger of Extrapolating Asymptotic Local Power
- Common breaks in means and variances for panel data
Cited In (25)
- Testing for common breaks in a multiple equations system
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Estimation of large dimensional factor models with an unknown number of breaks
- Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
- Testing for structural stability of factor augmented forecasting models
- A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
- A modified confidence set for the structural break date in linear regression models
- Estimation and inference of change points in high-dimensional factor models
- On time-varying factor models: estimation and testing
- 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
- Detecting big structural breaks in large factor models
- Changes in the span of systematic risk exposures
- 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
- 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
- TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
- Least squares estimation of large dimensional threshold factor models
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
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