Testing for structural changes in factor models via a nonparametric regression

DOI10.1017/S0266466619000446MaRDI QIDQ5859565zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelnonparametric regressiontesting for structural changes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Factorial statistical designs (62K15)

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Cites work

• Bandwidth selection in nonparametric kernel testing
• Consistent estimation of time-varying loadings in high-dimensional factor models
• Consistent factor estimation in dynamic factor models with structural instability
• Detecting big structural breaks in large factor models
• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue ratio test for the number of factors
• Estimation of large dimensional factor models with an unknown number of breaks
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Linear regression for panel with unknown number of factors as interactive fixed effects
• Locally stationary factor models: identification and nonparametric estimation
• Nonparametric econometrics. Theory and practice.
• Nonparametric trending regression with cross-sectional dependence
• On time-varying factor models: estimation and testing
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Semiparametric trending panel data models with cross-sectional dependence
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Specification test for panel data models with interactive fixed effects
• Testing for factor loading structural change under common breaks
• Testing for structural breaks in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Testing homogeneity in panel data models with interactive fixed effects
• Testing hypotheses about the number of factors in large factor models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for parameter instability in dynamic factor models
• Trending time-varying coefficient time series models with serially correlated errors

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
• Factor-augmented regression models with structural change
• Testing for time-varying factor loadings in high-dimensional factor models
• Tests for parameter instability in dynamic factor models
• 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
• A note on the structural change test in highly parameterized psychometric models

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