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)
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Journal Article: Testing for structural breaks in factor loadings: An application to international business cycle (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:259-263
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