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

Author
Cendejas Bueno, José Luis; Lucas Santos, Sonia deuntranslated; Delgado Rodríguez, María Jesús; Álvarez Ayuso, Inmaculadauntranslated
Entity
UAM. Departamento de Economía Aplicada
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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Google™ Scholar:Cendejas Bueno, José Luis - Lucas Santos, Sonia de - Delgado Rodríguez, María Jesús - Álvarez Ayuso, Inmaculada

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