Factor-augmented regression models with structural change

DOI10.1016/j.econlet.2015.03.020zbMath1321.62148OpenAlexW2005555923MaRDI QIDQ500558

Guowei Cui, Shaoping Wang, Kunpeng Li

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.03.020

zbMATH Keywords

limiting distributionstructural changetwo-step estimationfactor-augmented regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (1)

On testing for structural break of coefficients in factor-augmented regression models

Cites Work

• Estimating restricted structural change models
• Property taxes and home prices: a tale of two cities
• Estimation of heterogeneous panels with structural breaks
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Testing Hypotheses About the Number of Factors in Large Factor Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimating and Testing Linear Models with Multiple Structural Changes
• Panel Data Models With Interactive Fixed Effects
• Estimating and Testing Structural Changes in Multivariate Regressions
• Determining the Number of Factors in Approximate Factor Models

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