Testing for structural breaks in dynamic factor models
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Cites work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Determining the Number of Factors in Approximate Factor Models
- Do institutional changes affect business cycles? Evidence from Europe
- Estimating and Testing Linear Models with Multiple Structural Changes
- Forecasting in dynamic factor models subject to structural instability
- Forecasting Using Principal Components From a Large Number of Predictors
- GLS estimation of dynamic factor models
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- Optimal changepoint tests for normal linear regression
- 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
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The econometrics of panel data. Fundamental and recent developments in theory and practice.
Cited in
(71)- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Testing for structural breaks in factor copula models
- 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
- Detection of structural breaks in linear dynamic panel data models
- Characteristics, covariances, and structural 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
- Likelihood-based specification tests for dynamic factor models
- Tests for parameter instability in dynamic factor models
- scientific article; zbMATH DE number 1475337 (Why is no real title available?)
- 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
- 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
- The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
- State-Varying Factor Models of Large Dimensions
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Estimation and Inference on Time-Varying FAVAR Models
- Testing Nowcast Monotonicity with Estimated Factors
- Changes in the span of systematic risk exposures
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Reprint of: The likelihood ratio test for structural changes in factor models
- Inference for time-varying factor models under local stationarity
- Sieve estimation of state-varying factor models
- A robust residual-based test for structural changes in factor models
- Distinguishing Time-Varying Factor Models
- When structural break meets threshold effect: factor analysis under structural instabilities
- On time-varying panel data models with time-varying interactive fixed effects
- Modelling large dimensional datasets with Markov switching factor models
- Determination of the number of breaks in high-dimensional factor models via cross-validation
- Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
- Moving sum procedure for multiple change point detection in large factor models
- An Adaptive Residual-Based Test for Factor Structure
- 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?
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