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

C-Tier

Journal: Economic Modeling

Year: 2011

Volume: 28

Issue: 1-2

Pages: 259-263

Authors (4)

Bueno, José Luis Cendejas (not in RePEc) Santos, Sonia de Lucas (not in RePEc) Rodríguez, M Jesús Delgado (not in RePEc) Ayuso, Inmaculada Álvarez (Universidad Autónoma de Madrid)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Abstract

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.

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

Authors (4)

Abstract

Technical Details