Testing for structural breaks in factor loadings: An application to international business cycle
Entity
UAM. Departamento de Economía AplicadaPublisher
Elsevier B.V.Date
2011-01-01Citation
10.1016/j.econmod.2010.09.004
Economic Modelling 28.1-2 (2011): 259–263
ISSN
0264-9993DOI
10.1016/j.econmod.2010.09.004Editor's Version
http://dx.doi.org/10.1016/j.econmod.2010.09.004Subjects
Factor loadings; Recursive estimation; Structural breaks; Sup-Wald test; EconomíaRights
© 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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Google Scholar:Cendejas Bueno, José Luis
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Lucas Santos, Sonia de
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Delgado Rodríguez, María Jesús
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Álvarez Ayuso, Inmaculada
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