Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship

DOI10.2307/2171815MaRDI QIDQ4339083zbMATH OpenOpenAlexFDO

Authors Stephen G. Donald

Publication date 9 November 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171815

zbMATH Keywords

linear modelnonparametric regressionsimulation studyconsistent testsobservable factorsmultivariate nonparametric relationshipnumber of nonparametric factorsrank of demandtesting arbitrage pricing theory

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

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(13)

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• Testing the rank of Engel curves with endogenous expenditure
• Factor modelling for high-dimensional time series: inference and model selection
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• Local rank tests in a multivariate nonparametric relationship
• Smart Alpha: active management with unstable and latent factors
• Upward bias in the consumer price index under the zero-inflation economy
• A Bayesian approach to bandwidth selection for multivariate kernel density estimation
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• A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
• On rank estimation in symmetric matrices: the case of indefinite matrix estimators

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