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

DOI10.1016/j.econlet.2019.108903zbMath1437.62219OpenAlexW2996953297WikidataQ126433884 ScholiaQ126433884MaRDI QIDQ2300345

Chirok Han, Dukpa Kim

Publication date: 27 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108903

zbMATH Keywords

number of factorsstructural breaks in factor loadings

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Detecting big structural breaks in large factor models
• Testing for factor loading structural change under common breaks
• Identification and estimation of a large factor model with structural instability
• Testing for structural breaks in dynamic factor models
• Eigenvalue Ratio Test for the Number of Factors
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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