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Testing for the null of block zero restrictions in common factor models
- Authors
- Han, Chirok; Kim, Dukpa
- Issue Date
- 3월-2020
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Structural breaks in factor loadings; Number of factors
- Citation
- ECONOMICS LETTERS, v.188
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 188
- ISSN
- 0165-1765
- Abstract
- This paper proposes a test of block zero restrictions in the matrix of common factors. The test statistic is constructed using the principal component estimate of factors and has a standard chi-squared distribution asymptotically under the null hypothesis of block zero restrictions. (C) 2019 Elsevier B.V. All rights reserved.
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