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Testing for structural breaks in dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2009
From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....
Persistent link: https://www.econbiz.de/10010298752
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How well do we understand business cycles and growth? : Examining the data with a real business cycle model
Uhlig, Harald - In: Empirische Wirtschaftsforschung : Methoden und …, (pp. 295-319). 2003
Persistent link: https://www.econbiz.de/10001777651
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Testing for short and long run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
Persistent link: https://www.econbiz.de/10001652440
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Testing for short- and long-run causality : a frequency-domain approach
Breitung, Jörg; Candelon, Bertrand - In: Journal of econometrics 132 (2006) 2, pp. 363-378
Persistent link: https://www.econbiz.de/10003348759
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Testing for structural breaks in dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2009
From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....
Persistent link: https://www.econbiz.de/10003815484
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
Persistent link: https://www.econbiz.de/10011341997
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Assessing the forward premium puzzle : a factor-augmented panel data approach
Breitung, Jörg; Mann, Katja - In: International currency exposure, (pp. 265-287). 2017
Persistent link: https://www.econbiz.de/10011703861