Bin Peng, Liangjun Su, Yayi Yan
arXiv 3 Jun 2024 · Econometrics · publishedJournal of Econometrics (2025) · 2 citations (OpenAlex)
arXiv:2406.00941 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fu, Hong \ Wang (2023) `Testing for structural changes in large dimensional factor models via discrete fourier transform', Journal of Econometrics 233(… | 1.000 | 18 | 5 | 100% |
| 2 | Su \ Wang (2017) `On time-varying factor models: Estimation and testing', Journal of Econometrics 198(1), 84–101 | 1.000 | 17 | 4 | 100% |
| 3 | Baltagi, Kao \ Wang (2021) `Estimating and testing high dimensional factor models with multiple structural changes', Journal of Econometrics 220(2), 349–365 | 1.000 | 8 | 4 | 100% |
| 4 | Su \ Wang (2020) `Testing for structural changes in factor models via a nonparametric regression', Econometric Theory 36(6), 1127–1158 | 1.000 | 8 | 4 | 100% |
| 5 | Chen, Dolado \ Gonzalo (2014) `Detecting big structural breaks in large factor models', Journal of Econometrics 180(1), 30–48 | 1.000 | 7 | 4 | 100% |
| 6 | Han \ Inoue (2015) `Tests for parameter instability in dynamic factor models', Econometric Theory 31(5), 1117–1152 | 1.000 | 5 | 4 | 100% |
| 7 | Breitung \ Eickmeier (2011) `Testing for structural breaks in dynamic factor models', Journal of Econometrics 163(1), 71–84 | 1.000 | 5 | 3 | 100% |
| 8 | Bai, Duan \ Han (2024) `The likelihood ratio test for structural changes in factor models', Journal of Econometrics 238(2), 105631 | 0.928 | 4 | 3 | 100% |
| 9 | Bai \ Ng (2002) `Determining the number of factors in approximate factor models', Econometrica 70(1), 191–221 | 0.843 | 3 | 3 | 100% |
| 10 | Yamamoto \ Tanaka (2015) `Testing for factor loading structural change under common breaks', Journal of Econometrics 189(1), 187–206 | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 47 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models | 0.511 | 2 | 1 |