Testing for the null of block zero restrictions in common factor models

Han, Chirok; Kim, Dukpa

doi:10.1016/j.econlet.2019.108903

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Testing for the null of block zero restrictions in common factor models

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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.

키워드

Structural breaks in factor loadings; Number of factors; NUMBER

제목: Testing for the null of block zero restrictions in common factor models

저자: Han, Chirok; Kim, Dukpa

DOI: 10.1016/j.econlet.2019.108903

발행일: 2020-03

유형: Article

저널명: Economics Letters

권: 188