Testing for the null of block zero restrictions in common factor models
Chirok Han () and
Dukpa Kim ()
Economics Letters, 2020, vol. 188, issue C
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.
Keywords: Structural breaks in factor loadings; Number of factors (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176519304550
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