Testing for structural breaks in dynamic factor models

DOI10.1016/j.jeconom.2010.11.008zbMath1441.62615OpenAlexW2000310113MaRDI QIDQ737946

Jörg Breitung, Sandra Eickmeier

Publication date: 12 August 2016

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

Full work available at URL: http://hdl.handle.net/10419/27659

zbMATH Keywords

LM teststructural breakfactor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (46)

TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS ⋮ 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 ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Estimation of heterogeneous panels with structural breaks ⋮ 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 ⋮ 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 ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean? ⋮ Detecting big structural breaks in large factor models ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Consistent factor estimation in dynamic factor models with structural instability ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Testing for factor loading structural change under common breaks ⋮ Consistent estimation of time-varying loadings in high-dimensional factor models ⋮ 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 ⋮ Testing for common breaks in a multiple equations system ⋮ On the determination of the number of factors using information criteria with data-driven penalty ⋮ Testing economic convergence in non-stationary panel ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ Nonparametric estimation of large covariance matrices with conditional sparsity ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Mortality forecasting using factor models: time-varying or time-invariant factor loadings? ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS ⋮ Robust test for structural instability in dynamic factor models ⋮ Boosting high dimensional predictive regressions with time varying parameters ⋮ 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 ⋮ Estimating change-point latent factor models for high-dimensional time series ⋮ 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

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