Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Entire DC Network
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Research Collection School Of Economics
We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period …
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Research Collection School Of Economics
Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the null hypothesis the persistence parameter is zero. Based on a panel of continuous record of observations, the null asymptotic distributions are obtained when T is fixed and N is assumed to go to infinity, where T is the time span of the sample and N is the …