Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
DOI10.2307/2171815zbMATH Open0873.62127OpenAlexW2080133663MaRDI QIDQ4339083FDOQ4339083
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
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linear modelnonparametric regressionsimulation studyconsistent testsobservable factorsmultivariate nonparametric relationshipnumber of nonparametric factorsrank of demandtesting arbitrage pricing theory
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)
Cited In (13)
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- GMM inference when the number of moment conditions in large
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Factor modelling for high-dimensional time series: inference and model selection
- Testing the rank of Engel curves with endogenous expenditure
- Title not available (Why is that?)
- 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
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
- Determining the number of factors when the number of factors can increase with sample size
- On rank estimation in symmetric matrices: the case of indefinite matrix estimators
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