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- W2143402154 abstract "This paper proposes a new test for factor loading structural change in dynamic factor models. We first show that the leading test proposed by Breitung and Eickmeier (2011) exhibits nonmonotonic power, essentially because the breaks are considered as spurious factors with stable factor loadings. The proposed test eliminates the effects of the spurious factors by maximizing the test statistic over possible numbers of the original factors. Monte Carlo simulations and an empirical example using U.S. Treasury yield curve data clearly illustrate the usefulness of the proposed test." @default.
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- W2143402154 date "2015-11-01" @default.
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- W2143402154 title "Testing for factor loading structural change under common breaks" @default.
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- W2143402154 doi "https://doi.org/10.1016/j.jeconom.2015.06.018" @default.
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