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

Research output: Contribution to journalArticle

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

Keywords

  • Number of factors
  • Structural breaks in factor loadings

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Testing for the null of block zero restrictions in common factor models'. Together they form a unique fingerprint.

  • Cite this