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Testing for structural stability of factor augmented forecasting models

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2010Testing for structural breaks in dynamic factor models208 cited

Cited by

2014Bootstrapping factor-augmented regression models107 cited
2016Econometric Analysis of Large Factor Models88 cited
2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
2016Identification and estimation of a large factor model with structural instability54 cited
2019Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes44 cited
2017Estimation and Inference of Change Points in High Dimensional Factor Models38 cited
2018Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions27 cited
2020Sequential testing for structural stability in approximate factor models17 cited
2024Online change-point detection for matrix-valued time series with latent two-way factor structure14 cited