Testing for factor loading structural change under common breaks

DOI10.1016/J.JECONOM.2015.06.018MaRDI QIDQ496159zbMATHOpenAlexFDO

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

zbMATH Keywords

principal componentsfactor modelcommon breaksnonmonotonic powerspurious factors

Mathematics Subject Classification ID

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)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• 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
• Common breaks in means and variances for panel data
• Consistent factor estimation in dynamic factor models with structural instability
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Detecting big structural breaks in large factor models
• Determining the Number of Factors in Approximate Factor Models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Eigenvalue ratio test for the number of factors
• Estimating and Testing Linear Models with Multiple Structural Changes
• Finite sample multivariate structural change tests with application to energy demand models
• Forecasting in dynamic factor models subject to structural instability
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inferential Theory for Factor Models of Large Dimensions
• Nonmonotonic power for tests of a mean shift in a time series§
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Testing for structural breaks in dynamic factor models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for a mean shift with good size and monotonic power
• The Danger of Extrapolating Asymptotic Local Power

Cited in

(31)

• 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
• Detecting big structural breaks in large factor models
• Testing for time-varying factor loadings in high-dimensional factor models
• Testing against constant factor loading matrix with large panel high-frequency data
• Tests for parameter instability in dynamic factor models
• Testing for structural changes in large dimensional factor models via discrete Fourier transform
• On testing for structural break of coefficients in factor-augmented regression models
• A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
• Change point tests in functional factor models with application to yield curves
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Changes in the span of systematic risk exposures
• 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
• Testing for structural stability of factor augmented forecasting models
• On time-varying factor models: estimation and testing
• A modified confidence set for the structural break date in linear regression models
• Least squares estimation of large dimensional threshold factor models
• Estimation and inference of change points in high-dimensional factor models
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Testing for structural breaks in dynamic factor models
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Reprint of: The likelihood ratio test for structural changes in factor models
• Testing for sparse idiosyncratic components in factor-augmented regression models
• The likelihood ratio test for structural changes in factor models

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