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Testing for structural breaks in dynamic factor models

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References

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2002Has the Business Cycle Changed and Why?

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561 cited

2006Determining the Number of Primitive Shocks in Factor Models540 cited

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2019The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty71 cited
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2015Testing for factor loading structural change under common breaks65 cited
2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
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2016Identification and estimation of a large factor model with structural instability54 cited
2019Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes44 cited
2018Dynamic factor model with infinite‐dimensional factor space: Forecasting42 cited
2009Has the Monetary Transmission Process in the Euro Area Changed? Evidence Based on VAR Estimates38 cited