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

Fingerprint

Common factors
Testing
Factors
Test statistic
Principal components

Keywords

  • Number of factors
  • Structural breaks in factor loadings

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Testing for the null of block zero restrictions in common factor models. / Han, Chirok; Kim, Dukpa.

In: Economics Letters, Vol. 188, 108903, 03.2020.

Research output: Contribution to journalArticle

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