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Change point tests in functional factor models with application to yield curves

  • Published:2017-01-05 Issue:1 Volume:20 Page:86-117
  • ISSN:1368-4221
  • Container-title:The Econometrics Journal
  • language:en
  • Short-container-title:The Econometrics Journal

Author:

Bardsley Patrick1,Horváth Lajos2,Kokoszka Piotr3,Young Gabriel4

Affiliation:

1. Institute for Computational Engineering and Sciences; University of Texas; Austin TX USA

2. Department of Mathematics; University of Utah; Salt Lake City UT USA

3. Department of Statistics; Colorado State University; Fort Collins CO USA

4. Department of Statistics; Columbia University; New York NY USA

Funder

National Science Foundation

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Reference34 articles.

1. The integral of a symmetric unimodal function over a symmetric convex set and some probability inequalities;Anderson;Proceedings of the American Mathematical Society,1955

2. Break detection in the covariance structure of multivariate time series models;Aue;Annals of Statistics,2009

3. Bech , M. Y. Lengwiler 2012 The financial crisis and the changing dynamics of the yield curve

4. Detecting changes in the mean of functional observations;Berkes;Journal of the Royal Statistical Society,2009

5. Weak invariance principles for sums of dependent random functions;Berkes;Stochastic Processes and their Applications,2013

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