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

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2 Citations (Scopus)

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.

Original languageEnglish
Article number108903
JournalEconomics Letters
Volume188
DOIs
Publication statusPublished - 2020 Mar

Bibliographical note

Funding Information:
This article is derived from the authors? previous work circulated under the title ?Tests of block zero restrictions in common factor models.? This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2016S1A5A2A03926092). Kim's work was supported by Korea University (K1514631). Research by Han was supported by Korea University (K1917801).

Publisher Copyright:
© 2019 Elsevier B.V.

Keywords

  • Number of factors
  • Structural breaks in factor loadings

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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