TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION

Su, LJ; Wang, X

Wang, X (corresponding author), Renmin Univ China, Sch Econ, Beijing 100872, Peoples R China.

ECONOMETRIC THEORY, 2020; 36 (6): 1127

Abstract

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 smo......

Full Text Link