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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

Abstract: 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)
Date: 2011
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