Testing for structural breaks in dynamic factor models

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 71-84

  Breitung, Jörg ^a   Eickmeier, Sandra ^b  

^a UNIVERSITY OF BONN   (Germany)

^b DEUTSCHE BUNDESBANK   (Germany)

Author keywords

Factor model; LM test; Structural break

Indexed keywords

BREAK DATES; COMMON FACTORS; DATA SETS; DYNAMIC FACTOR MODELS; FACTOR MODEL; INFORMATION CRITERION; LM TEST; MONTE CARLO SIMULATION; PRINCIPAL COMPONENTS; STRUCTURAL BREAK; TEST PROCEDURES; WALD STATISTIC;

LAGRANGE MULTIPLIERS; MONTE CARLO METHODS; TESTING;

COMPUTER SIMULATION;

EID: 79956356524     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.008     Document Type: Conference Paper

References (38)

1. D.W.K. Andrews Tests for parameter instability and structural change with unknown change point Econometrica 61 1993 821 856
2. D.W.K. Andrews, I. Lee, and W. Ploberger Optimal change point tests for normal linear regression Journal of Econometrics 70 1996 9 38 (Pubitemid 126339814)
3. D.W.K. Andrews, and W. Ploberger Optimal tests when a nuisance parameter is present only under the alternative Econometrica 62 1994 1383 1414
4. Altissimo, F.; Forni, M.; Lippi, M.; Veronese, G.; Cristadoro, R.; 2007. New Eurocoin: tracking economic growth in real time. Bank of Italy Working Paper 631.
5. D. Amengual, and M.W. Watson Consistent estimation of the number of dynamic factors in a large N and T panel Journal of Business & Economic Statistics 25 2007 91 96
6. J. Bai Inferential theory for factor models of large dimensions Econometrica 71 2003 135 172
7. J. Bai, and S. Ng Determining the number of factors in approximate factor models Econometrica 70 2002 191 221 (Pubitemid 34288243)
8. J. Bai, and S. Ng Determining the number of primitive shocks in factor models Journal of Business and Economic Statistics 25 2007 52 60
9. J. Bai, and P. Perron Estimating and testing linear models with multiple structural changes Econometrica 66 1998 47 78 (Pubitemid 128467589)
10. J. Bai, and P. Perron Computation and analysis of multiple structural change models Journal of Applied Econometrics 18 2003 1 22
11. Banerjee, A.; Marcellino, M.; 2008. Forecasting macroeconomic variables using diffusion indexes in short samples with structural change. CEPR Working Paper 6706.
12. M. Baxter, and M.A. Kouparitsas Determinants of business cycle comovement: a robust analysis Journal of Monetary Economics 52 1 2005 113 157 (Pubitemid 40105750)
13. Benati, L.; Mumtaz, H.; 2007. US evolving macroeconomic dynamicsa structural investigation. ECB Working Paper 746.
14. P. Billingsley Convergence of Probability Measures 1968 Wiley New York
15. J. Breitung, and M. Pesaran Unit roots and cointegration in panels L. Matyas, P. Sevestre, The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice 2008 Kluwer Academic Publishers 279 322
16. Breitung, J.; Tenhofen, J.; 2008. GLS estimation of dynamic factor models. Working Paper, University of Bonn.
17. Canova, F.; Ciccarelli, M.; Ortega, E.; 2009. Do institutional changes affect business cycles? Evidence from Europe, Mimeo, Universitat Pompeu Fabra, Barcelona.
18. G. Chamberlain, and M. Rothschild Arbitrage, factor structure and meanvariance analysis in large asset markets Econometrica 51 1983 1305 1324
19. R. Clarida, J. Gal, and M. Gertler Monetary policy rules and macroeconomic stability: evidence and some theory The Quarterly Journal of Economics 115 2000 147 180
20. S.J. Davis, and J.A. Kahn Interpreting the great moderation: changes in the volatility of economic activity at the macro and micro levels Journal of Economic Perspectives 22 2008 155 180
21. Del Negro, M.; Otrok, C.; 2008. Dynamic factor models with time-varying parameters: measuring changes in international business cycles. Revised Version of Federal Reserve Bank of New York Staff Report 326 (2005).
22. Eickmeier, S.; Lemke, W.; Marcellino, M.; 2009. Classical time-varying FAVAR modelsestimation, forecasting and structural analysis. Mimeo, Deutsche Bundesbank.
23. J.A. Frankel, and A.K. Rose The endogeneity of the optimum currency area criteria Economic Journal 108 1998 1009 1025 (Pubitemid 128461901)
24. Gal, J.; Gambetti, L.; 2008. On the sources of the great moderation. CEPR Discussion Paper 6632.
25. Giordani, P.; 2007. Discussion of "forecasting in dynamic factor models subject to structural instability" by James Stock and Mark Watson, December 2007. http://www.ecb.int/events/pdf/conferences/ftworkshop2007/ Giordani.pdf.
26. J. Imbs Trade, finance, specialization and synchronization Review of Economics and Statistics 86 2004 723 734
27. IMF, 2008. World Economic Outlook: Housing and the Business Cycle (Chapter 3).
28. C. Kim, and C.R. Nelson Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle Review of Economics and Statistics 81 1999 608 616
29. A.M. Kose, E.S. Prasad, and M.E. Terrones How does globalization affect the synchronization of business cycles? American Economic Review 93 2003 57 62 (Pubitemid 38799598)
30. M. McConnell, and G. Perez-Quiros Output fluctuations in the United States: what has changed since the early 1980s? American Economic Review 90 2000 1464 1476
31. W.K. Newey, and K.D. West A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703 708
32. P. Perron Dealing with structural breaks T.C. Mills, K. Patterson, Econometric Theory Palgrave Handbook of Econometrics vol. 1 2006 Palgrave Macmillan New York 278 352
33. J.H. Stock, and M.W. Watson Forecasting using principal components from a large number of predictors Journal of the American Statistical Association 97 2002 1167 1179 (Pubitemid 36136574)
34. Stock, J.H.; Watson, M.W.; 2003. Has the business cycle changed? Evidence and explanations. Forthcoming FRB Kansas City Symposium, Jackson Hole, Wyoming, August 2830.
35. Stock, J.H.; Watson, M.W.; 2005. Implications of dynamic factor models for VAR analysis. NBER Working Paper No. 11467.
36. J.H. Stock, and M.W. Watson Forecasting in dynamic factor models subject to structural instability J. Castle, N. Shephard, The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry 2008 Oxford University Press Oxford
37. T.J. Vogelsang Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series Journal of Econometrics 88 1999 283 299 (Pubitemid 128410610)
38. H. White A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity Econometrica 48 1980 817 838