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 language | English |
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Article number | 108903 |
Journal | Economics Letters |
Volume | 188 |
DOIs | |
Publication status | Published - 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