Detecting big structural breaks in large factor models

Journal of Econometrics

Volumn 180, Issue 1, 2014, Pages 30-48

  Chen, Liang ^a   Dolado, Juan J ^b,c   Gonzalo, Jesús ^b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^c EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Factor loadings; Large factor model; Principal components; Structural break

Indexed keywords

PRINCIPAL COMPONENT ANALYSIS;

FACTOR MODEL; INFORMATION CRITERION; NUMBER OF FACTORS; PRINCIPAL COMPONENTS; PRINCIPAL COMPONENTS ANALYSIS; STANDARD ASSUMPTIONS; STRUCTURAL BREAK; TESTING PROCEDURE;

FACTOR ANALYSIS;

EID: 84897978937     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.01.006     Document Type: Article

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