Testing for structural changes in factor models via a nonparametric regression
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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
(27)- On time-varying panel data models with time-varying interactive fixed effects
- 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
- Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
- 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
- Inference for time-varying factor models under local stationarity
- 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
- Sieve estimation of state-varying factor models
- A robust residual-based test for structural changes in factor models
- Distinguishing Time-Varying Factor Models
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