Testing for Factor Loading Structural Change under Common Breaks

Yohei Yamamoto, 庸平 山本, Shinya Tanaka and 晋也 田中

No 2013-17, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: factor model; principal components; common breaks; spurious factors; local alternative asymptotics; fixed alternative asymptotics; nonmonotonic power; yield curve (search for similar items in EconPapers)
JEL-codes: C12 C38 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2013-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (4)

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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26010/070econDP13-17.pdf

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Journal Article: Testing for factor loading structural change under common breaks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2013-17

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