Testing for structural breaks in dynamics factor models /

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks. It is...

• Main Author: Breitung, Jörg
• Other Authors: Eickmeier, Sandra
• Format: Book
• Language: English
• Published: Frankfurt am Main : Deutsche Bundesbank, 2009
• Series: Discussion paper (Deutsche Bundesbank). Series 1: economic studies no. 05/2009
• Subjects: CAMBIO ESTRUCTURAL; ANALISIS FACTORIAL
• Online Access: https://www.econstor.eu/bitstream/10419/27659/1/200905dkp.pdf; Información sobre el autor