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Testing for factor loading structural change under common breaks · Study

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ArticleTesting for factor loading structural change under common breaks

Yohei Yamamoto2015

Article2015

Testing for factor loading structural change under common breaks

Yohei Yamamoto · Shinya Tanaka

65 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

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2002Determining the Number of Factors in Approximate Factor Models 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2003Inferential Theory for Factor Models of Large Dimensions 2007The U.S. Treasury yield curve: 1961 to the present 1990Testing for a Unit Root in a Time Series With a Changing Mean 2005Dealing with Structural Breaks 2006Determining the Number of Primitive Shocks in Factor Models

Cited by

2017Estimation and Inference of Change Points in High Dimensional Factor Models 2020TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION 2020Sequential testing for structural stability in approximate factor models 2024Online change-point detection for matrix-valued time series with latent two-way factor structure 2016A modified confidence set for the structural break date in linear regression models

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2016Identification and estimation of a large factor model with structural instabilityarticle · 8 shared references 2016Econometric Analysis of Large Factor Modelsreview · 7 shared references 2018Testing for common breaks in a multiple equations systemarticle · 7 shared references 2010Testing for structural breaks in dynamic factor modelsarticle · 6 shared references 2017On time-varying factor models: Estimation and testingarticle · 6 shared references 2018State-Varying Factor Models of Large Dimensionsarticle · 6 shared references

Details

Year2015

Typearticle

Published2015-07-20

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations65

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2015.06.018

openalex_workW2143402154

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2018

Testing for common breaks in a multiple equations system