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

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

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0264999310001756
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 1 ()
Pages: 259-263

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:1:p:259-263
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
  2. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers.
  3. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  4. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
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