Working paper
Detecting big structural breaks in large factor models
- Abstract:
-
Time invariance of factor loadings is a standard assumption in the analysis of large factor models. Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero). In this paper we develop a new testing procedure to detect big breaks in these loadings at either known or unknown dates. It relies upon testing for parameter breaks in a regression of one of the factors estimated by Principal Components analysis on the remaining estimated factors, where the numbe...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2013-10-14
- Paper number:
- 677
Item Description
- Keywords:
- Pubs id:
-
1143736
- Local pid:
- pubs:1143736
- Deposit date:
- 2020-12-15
Terms of use
- Copyright date:
- 2013
- Rights statement:
- Copyright 2013 The Author(s)
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