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

Chirok Han () and Dukpa Kim ()

Economics Letters, 2020, vol. 188, issue C

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.

Keywords: Structural breaks in factor loadings; Number of factors (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176519304550

DOI: 10.1016/j.econlet.2019.108903

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