Testing for factor loading structural change under common breaks

DOI10.1016/j.jeconom.2015.06.018zbMath1337.62125OpenAlexW2143402154MaRDI QIDQ496159

Shinya Tanaka, Yohei Yamamoto

Publication date: 18 September 2015

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

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26010/070econDP13-17.pdf

zbMATH Keywords

principal componentsfactor modelcommon breaksnonmonotonic powerspurious factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (18)

Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Sequential testing for structural stability in approximate factor models ⋮ A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK ⋮ Shrinkage estimation of multiple threshold factor models ⋮ 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 ⋮ The likelihood ratio test for structural changes in factor models ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Least squares estimation of large dimensional threshold factor models ⋮ Testing for common breaks in a multiple equations system ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ On time-varying factor models: estimation and testing ⋮ Testing for the null of block zero restrictions in common factor models ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ A modified confidence set for the structural break date in linear regression models ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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