Detecting big structural breaks in large factor models
Time invariance of factor loadings is a standard assumption in the analysis of large factor models. Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero). In this paper we develop a new testing procedure to detect big breaks in these loadings at either know...
| Auteurs principaux: | , , |
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| Format: | Working paper |
| Publié: |
University of Oxford
2013
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