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

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초록

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