Testing for factor loading structural change under common breaks
Year of publication: |
November 2015
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Authors: | Yamamoto, Yohei ; Tanaka, Shinya |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 1, p. 187-206
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Subject: | Factor model | Principal components | Common breaks | Spurious factors | Nonmonotonic power | Finanzkrise | Financial crisis | Spekulationsblase | Bubbles | Wechselkurs | Exchange rate | US-Dollar | US dollar | Monte-Carlo-Simulation | Monte Carlo simulation | Welt | World |
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