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ArticleTesting for structural breaks in dynamic factor models

Jörg Breitung2010

Article2010

Testing for structural breaks in dynamic factor models

Jörg Breitung · Sandra Eickmeier

208 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Statistical Methods and Applications

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References

2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 1998The Endogenity of the Optimum Currency Area Criteria n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?2003Inferential Theory for Factor Models of Large Dimensions 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle

Cited by

2017On time-varying factor models: Estimation and testing 2015Estimation of heterogeneous panels with structural breaks 2013Monetary Policy and the Housing Market: A Structural Factor Analysis 2016Econometric Analysis of Large Factor Models 2016The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR

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Year2010

Typearticle

Published2010-11-15

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations208

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2010.11.008

openalex_workW2000310113

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2014

Testing for structural stability of factor augmented forecasting models

2018State-Varying Factor Models of Large Dimensions

2019Structural Breaks in Time Series