A Robust Residual-Based Test for Structural Changes in Factor Models
In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smooth and abrupt structural changes with unknown break dates. The proposed test is robust against the over-specified number of factors, and serially and crosssectionally correlated error processes. A new central limit theorem is given for the quadratic forms of panel data with dependence over both dimensions, thereby filling a gap in the literature. We establish the asymptotic properties of the proposed test statistic, and accordingly develop a simulation-based scheme to select critical value in order to improve finite sample performance. Through extensive simulations and a real-world application, we confirm our theoretical results and demonstrate that the proposed test exhibits desirable size and power in practice.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Likelihood ratio test for structural changes in factor models
A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but a change in the variance of its factors. This effectively transforms a structural change pro…
Learn Structure, Adapt on the Fly: Multi-Scale Residual Learning and Online Adaptation for Aerial Manipulators
Autonomous Aerial Manipulators (AAMs) are inherently coupled, nonlinear systems that exhibit nonstationary and multiscale residual dynamics, particularly during manipulator reconfiguration and abrupt payload variations. …
Prostate Gland Segmentation in Histology Images via Residual and Multi-Resolution U-Net
Prostate cancer is one of the most prevalent cancers worldwide. One of the key factors in reducing its mortality is based on early detection. The computer-aided diagnosis systems for this task are based on the glandular …
Data AugmentationSegmentationStructural Breaks in Time Series
This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on line…
Time SeriesTime Series AnalysisSingularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models
This paper investigates the estimation of high-dimensional factor models in which factor loadings undergo an unknown number of structural changes over time. Given that a model with multiple changes in factor loadings can…