Factor-augmented regression models with structural change

DOI10.1016/J.ECONLET.2015.03.020MaRDI QIDQ500558zbMATH OpenOpenAlexFDO

Authors Shaoping Wang, Guowei Cui, Kunpeng Li

Publication date 5 October 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.03.020

zbMATH Keywords

two-step estimationstructural changelimiting distributionfactor-augmented regression

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• Estimating restricted structural change models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation of heterogeneous panels with structural breaks
• Panel data models with interactive fixed effects
• Property taxes and home prices: a tale of two cities
• Testing hypotheses about the number of factors in large factor models

Cited in

(4)

• Factor-driven two-regime regression
• Two-step estimation of a factor model in the presence of observable factors
• On testing for structural break of coefficients in factor-augmented regression models
• scientific article; zbMATH DE number 6811485 (Why is no real title available?)

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