Testing for structural changes in factor models via a nonparametric regression

Testing for structural changes in factor models via a nonparametric regression

We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component an...

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Bibliographic Details
Main Authors: SU, Liangjun, WANG, Xia
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Factor model
Test
Local smoothing
Structural change
Local power
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2465
https://ink.library.smu.edu.sg/context/soe_research/article/3464/viewcontent/factor_breaks20190910_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2465
https://ink.library.smu.edu.sg/context/soe_research/article/3464/viewcontent/factor_breaks20190910_sv.pdf

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