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

C-Tier

Journal: Economic Modeling

Year: 2011

Volume: 28

Issue: 1

Pages: 259-263

Authors (4)

Bueno, José Luis Cendejas (not in RePEc) Santos, Sonia de Lucas (not in RePEc) Rodríguez, Ma 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

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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

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