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

Chirok Han; Dukpa Kim

doi:10.1016/j.econlet.2019.108903

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

Chirok Han, Dukpa Kim

Research output: Contribution to journal › Article › peer-review

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 language	English
Article number	108903
Journal	Economics Letters
Volume	188
DOIs	https://doi.org/10.1016/j.econlet.2019.108903
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

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10.1016/j.econlet.2019.108903

Cite this

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author = "Chirok Han and Dukpa Kim",

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KW - Structural breaks in factor loadings

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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