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

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

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Title: Testing for structural breaks in factor loadings: An application to international business cycle
Author: Cendejas Bueno, José Luis; Lucas Santos, Sonia de; Delgado Rodríguez, María Jesús; Álvarez Ayuso, Inmaculada
Entity: UAM. Departamento de Economía Aplicada
UAM Author: Lucas Santos, Sonia De
Publisher: Elsevier B.V.
Date: 2011-01-01
Citation: Economic Modelling 28.1-2 (2011): 259–263
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2010.09.004
Editor's Version: http://dx.doi.org/10.1016/j.econmod.2010.09.004
Subjects: Factor loadings; Recursive estimation; Structural breaks; Sup-Wald test; Economía
URI: http://hdl.handle.net/10486/668727
Rights: © 2010 Elsevier B.V. All rights reserved.

Abstract:

This paper proposes the implementation of the Sup-Wald 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 a sample of advanced countries from 1950 until 2006.

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G o o g l e ™ Scholar: Cendejas Bueno, José Luis - Lucas Santos, Sonia de - Delgado Rodríguez, María Jesús - Álvarez Ayuso, Inmaculada

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