TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
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Publication:5859565
DOI10.1017/S0266466619000446zbMath1462.62246OpenAlexW3024226944MaRDI QIDQ5859565
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Publication date: 16 April 2021
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466619000446
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Factorial statistical designs (62K15)
Related Items (6)
Change-point detection for the link function in a single-index model ⋮ Testing for structural changes in large dimensional factor models via discrete Fourier transform ⋮ The likelihood ratio test for structural changes in factor models ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ A time-varying diffusion index forecasting model ⋮ Testing for time-varying factor loadings in high-dimensional factor models
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