A1473
Title: Testing for structural changes in factor models with short panel data
Authors: Shuyang Sheng - The Chinese University of Hong Kong, Shenzhen (China) [presenting]
Abstract: The aim is to investigate methods for testing structural changes in factor models with short panel data, where $N \rightarrow \infty$ and $T$ is fixed. Under the null hypothesis of no structural change in factor loadings, the approach of a prior study is applied to eliminate factor loadings and estimate the parameters by GMM. Building on this idea, a J-test is proposed for detecting structural changes in factor loadings, which has the correct asymptotic size. The power of the test is also compared with that of the test proposed by a recent study.
