Testing for structural breaks in factor loadings: An application to international business cycle
José Luis Cendejas Bueno,
de Lucas Santos Sonia,
Maria Jesus Delgado Rodriguez () and
Inmaculada Álvarez ()
Economic Modelling, 2011, vol. 28, issue 1-2, 259-263
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.
Keywords: Factor; loadings; Structural; breaks; Recursive; estimation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Journal Article: Testing for structural breaks in factor loadings: An application to international business cycle (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:259-263
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Series data maintained by Dana Niculescu ().