Robust test for structural instability in dynamic factor models

Byungsoo Kim (), Junmo Song () and Changryong Baek ()
Additional contact information
Byungsoo Kim: Yeungnam University
Junmo Song: Kyungpook National University
Changryong Baek: Sungkyunkwan University

Annals of the Institute of Statistical Mathematics, 2021, vol. 73, issue 4, No 7, 853 pages

Abstract: Abstract In this paper, we consider a robust test for structural breaks in dynamic factor models. The proposed framework considers structural changes when the underlying high-dimensional time series is contaminated by outlying observations, which are often observed in many real applications such as fMRI, economics and finance. We propose a test based on the robust estimation of a vector autoregressive model for principal component factors using minimum density power divergence. The simulations study shows excellent finite sample performance, higher powers while achieving good sizes in all cases considered. Our method is illustrated to the resting state fMRI series to detect brain connectivity changes.

Keywords: High-dimensional time series; Dynamic factor models; Minimum density power divergence; Parameter change test; Outliers (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10463-020-00773-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:73:y:2021:i:4:d:10.1007_s10463-020-00773-0

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-020-00773-0

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().