Testing for structural breaks in factor loadings: an application to international business cycle

• Autores: José Luis Cendejas Bueno, Sonia de Lucas Santos, Inmaculada Álvarez Ayuso, María Jesús Delgado Rodríguez
• Localización: Notas técnicas: [continuación de Documentos de Trabajo FUNCAS], ISSN-e 1988-8767, Nº. 477, 2009
• Idioma: español
• Enlaces
  • Texto completo
• Dialnet Métricas: 2 Citas
• Resumen

  • This paper proposes the implementation of the Sup-Wald test of Andrews (1993) to detect structural breaks in the loadings of a static factor model. The procedure is illustrated by testing for structural breaks in the common factors of GDP growth series for a sample of advanced countries from 1950 until 2006. Some breaks are detected whose interpretation is related to important changes of the openness to the global economy of countries affected by important transformation processes.