IDEAS home Printed from https://ideas.repec.org/a/eee/ecmode/v28y2011i1-2p259-263.html
   My bibliography  Save this article

Testing for structural breaks in factor loadings: An application to international business cycle

Author

Listed:
  • Bueno, José Luis Cendejas
  • Santos, Sonia de Lucas
  • Rodríguez, M Jesús Delgado
  • Ayuso, Inmaculada Álvarez

Abstract

This 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.

Suggested Citation

  • Bueno, José Luis Cendejas & Santos, Sonia de Lucas & Rodríguez, M Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Testing for structural breaks in factor loadings: An application to international business cycle," Economic Modelling, Elsevier, vol. 28(1-2), pages 259-263, January.
    • Handle: RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:259-263
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0264-9993(10)00175-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    2. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    4. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. de Lucas-Santos, Sonia & Delgado-Rodríguez, María Jesús & Cabezas-Ares, Alfredo, 2021. "Cyclical convergence in per capita carbon dioxide emission in US states: A dynamic unobserved component approach," Energy, Elsevier, vol. 217(C).
    2. Lee, Jim, 2012. "Measuring business cycle comovements in Europe: Evidence from a dynamic factor model with time-varying parameters," Economics Letters, Elsevier, vol. 115(3), pages 438-440.
    3. Maria Jesús Delgado-Rodriguez & Sonia De lucas-Santos, 2013. "Testing cyclical convergence with the factor model in the Euro Area," Economics Bulletin, AccessEcon, vol. 33(3), pages 2245-2250.
    4. Alfredo Cabezas-Ares & María Jesús Delgado-Rodríguez & Sonia de Lucas-Santos, 2020. "The Dynamics of Cyclical Convergence and Decoupling in the Environmental Performance of Spanish Regions," Sustainability, MDPI, vol. 12(20), pages 1-14, October.
    5. Santos, Sonia de Lucas & Rodríguez, María Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Application of factor models for the identification of countries sharing international reference-cycles," Economic Modelling, Elsevier, vol. 28(6), pages 2424-2431.
    6. María Jesús Delgado-Rodríguez & Sonia de Lucas-Santos & Alfredo Cabezas-Ares, 2021. "Short-Run Links in Ecological Footprint: A Dynamic Factor Analysis for the EU," Land, MDPI, vol. 10(12), pages 1-12, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
    2. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
    3. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    4. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
    5. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
    6. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    7. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
    8. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
    9. Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
    10. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
    11. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society.
    12. Maldonado, Javier & Ruiz Ortega, Esther, 2017. "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265, Edward Elgar Publishing.
      • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
    14. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
    15. Han, Xu & Inoue, Atsushi, 2015. "Tests For Parameter Instability In Dynamic Factor Models," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1117-1152, October.
    16. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
    17. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
    18. Mu-Chun Wang, 2009. "Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 167-182.
    19. Rotger, G.P. & Franses, Ph.H.B.F., 2006. "Forecasting high-frequency electricity demand with a diffusion index model," Econometric Institute Research Papers EI 2006-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent factor estimation in dynamic factor models with structural instability," Journal of Econometrics, Elsevier, vol. 177(2), pages 289-304.

    More about this item

    Keywords

    Factor loadings Structural breaks Recursive estimation;

    JEL classification:

    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:259-263. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30411 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.