Testing for structural changes in factor models via a nonparametric regression
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Publication:5859565
DOI10.1017/S0266466619000446zbMATH Open1462.62246OpenAlexW3024226944MaRDI QIDQ5859565FDOQ5859565
Authors:
Publication date: 16 April 2021
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466619000446
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Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Factorial statistical designs (62K15)
Cites Work
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- Testing for structural breaks in dynamic factor models
- Testing for factor loading structural change under common breaks
- Testing for structural stability of factor augmented forecasting models
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- On time-varying factor models: estimation and testing
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Cited In (21)
- Estimating and testing high dimensional factor models with multiple structural changes
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- A Statistical Test to Reject the Structural interpretation of a Latent Factor Model
- Transformed contribution ratio test for the number of factors in static approximate factor models
- On time-varying factor models: estimation and testing
- The likelihood ratio test for structural changes in factor models
- Estimation and Inference on Time-Varying FAVAR Models
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Testing for structural breaks in dynamic factor models
- Change-point detection for the link function in a single-index model
- A time-varying diffusion index forecasting model
- Changes in the span of systematic risk exposures
- Testing for factor loading structural change under common breaks
- Sequential testing for structural stability in approximate factor models
- Testing for time-varying factor loadings in high-dimensional factor models
- Factor-augmented regression models with structural change
- Estimating and testing for smooth structural changes in moment condition models
- Reprint of: The likelihood ratio test for structural changes in factor models
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Tests for parameter instability in dynamic factor models
- A note on the structural change test in highly parameterized psychometric models
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