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Testing for factor loading structural change under common breaks

201569 citationsJournal Article

Authors

Yohei Yamamoto · Hitotsubashi University

Shinya Tanaka · Otaru University of Commerce

Topics & Keywords

Monetary Policy and Economic Impact Firm Innovation and Growth Financial Risk and Volatility Modeling

Publication Details

Published in: Journal of Econometrics

Volume 189, Issue 1, pp. 187-206

DOI: 10.1016/j.jeconom.2015.06.018

Field-Weighted Citation Impact: 17.62

Testing for factor loading structural change under common breaks | Researchclopedia