Testing for structural breaks in dynamic factor models

DOI10.1016/j.jeconom.2010.11.008zbMath1441.62615MaRDI QIDQ737946

Jörg Breitung, Sandra Eickmeier

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/27659

zbMATH Keywords

LM test; structural break; factor model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

Related Items

TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION, Local power of panel unit root tests allowing for structural breaks, A state-space approach to time-varying reduced-rank regression, Testing for time-varying factor loadings in high-dimensional factor models, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components, Comments on: ``Extensions of some classical methods in change point analysis, A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK, Shrinkage estimation of multiple threshold factor models, Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion, Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors, Detection of Multiple Structural Breaks in Large Covariance Matrices, The likelihood ratio test for structural changes in factor models, Detecting big structural breaks in large factor models, Testing for factor loading structural change under common breaks, Estimating the common break date in large factor models, Identification and estimation of a large factor model with structural instability, Least squares estimation of large dimensional threshold factor models, On the determination of the number of factors using information criteria with data-driven penalty, Testing economic convergence in non-stationary panel, Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, Estimation of heterogeneous panels with structural breaks, Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?, Simultaneous multiple change-point and factor analysis for high-dimensional time series, Consistent estimation of time-varying loadings in high-dimensional factor models, Testing for common breaks in a multiple equations system, Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models, On testing for structural break of coefficients in factor-augmented regression models, Estimation of large dimensional factor models with an unknown number of breaks, Nonparametric estimation of large covariance matrices with conditional sparsity, Mortality forecasting using factor models: time-varying or time-invariant factor loadings?, Robust test for structural instability in dynamic factor models, Boosting high dimensional predictive regressions with time varying parameters, Estimating change-point latent factor models for high-dimensional time series, Sequential testing for structural stability in approximate factor models, Estimating and testing high dimensional factor models with multiple structural changes, Estimation and inference of change points in high-dimensional factor models, On time-varying factor models: estimation and testing, Testing for the null of block zero restrictions in common factor models, Testing and estimating change-points in the covariance matrix of a high-dimensional time series, Testing for structural stability of factor augmented forecasting models, Consistent factor estimation in dynamic factor models with structural instability, 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 structural changes in large dimensional factor models via discrete Fourier transform, ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS, TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS

Cites Work

• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Do institutional changes affect business cycles? Evidence from Europe
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Optimal changepoint tests for normal linear regression
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• GLS Estimation of Dynamic Factor Models
• 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
• Forecasting Using Principal Components From a Large Number of Predictors
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Estimating and Testing Linear Models with Multiple Structural Changes
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models