Testing for structural breaks in factor loadings: An application to international business cycle
AbstractThis paper proposes the implementation of the SupWald test of Andrews (1993) to detect structural breaks in the loadings of a static factor model. The procedure is illustrated by testing for structural breaks in the common factors of GDP growth series for a sample of advanced countries from 1950 until 2006.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 28 (2011)
Issue (Month): 1-2 (January)
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Web page: http://www.elsevier.com/locate/inca/30411
Factor loadings Structural breaks Recursive estimation;
Other versions of this item:
- Bueno, José Luis Cendejas & Santos, Sonia de Lucas & Rodríguez, Ma Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Testing for structural breaks in factor loadings: An application to international business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 259-263.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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