Testing for structural breaks in factor loadings: An application to international business cycle

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.

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Year of publication:	2011
Authors:	Bueno, José Luis Cendejas ; Santos, Sonia de Lucas ; Rodríguez, M Jesús Delgado ; Ayuso, Inmaculada Álvarez
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 28.2011, 1-2, p. 259-263
Publisher:	Elsevier
Keywords:	Factor loadings Structural breaks Recursive estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008861700