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Testing for structural changes in large dimensional factor models via discrete Fourier transform
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
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  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2020General diagnostic tests for cross-sectional dependence in panels2,752 cited
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  • 2014Detecting big structural breaks in large factor models133 cited
  • 2014Testing for structural stability of factor augmented forecasting models

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78 cited
  • 2014Classical Time Varying Factor-Augmented Vector Auto-Regressive Models—Estimation, Forecasting and Structural Analysis68 cited
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