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Author: Xu Han Publisher: ISBN: Category : Languages : en Pages : 67
Book Description
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.
Author: Xu Han Publisher: ISBN: Category : Languages : en Pages : 67
Book Description
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.
Author: Francesco Calvori Publisher: ISBN: Category : Languages : en Pages : 40
Book Description
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under the alternative. We compare the test's performance with that of alternative tests developed for competing time-varying parameter frameworks, such as structural breaks and observation driven parameter dynamics. The new test has higher and more stable power against alternatives with frequent regime switches or with non-local parameter driven time-variation. For parameter driven time variation close to the null or for infrequent structural changes, the test of Muller and Petalas (2010) performs best overall. We apply all tests empirically to a panel of losses given default over the period 1982-2010 and find significant evidence of parameter variation in the underlying beta distribution.
Author: Siem Jan Koopman Publisher: Emerald Group Publishing ISBN: 1785603523 Category : Business & Economics Languages : en Pages : 685
Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author: Sahbi Farhani Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model 'SLRM').
Author: Xu Han
Author: Xu Han
Author: arthur d. warga
Author: Francesco Calvori
Author: Siem Jan Koopman
Author: Christophe Croux
Author: Sahbi Farhani
Author: Bertrand Candelon
Author: Gabriele Fiorentini
Author: Jiti Gao
Author: Marcelle Chauvet