Preliminary test estimation for multi-sample principal components

Davy Paindaveine, Rondrotiana Joséa Rasoafaraniaina and Thomas Verdebout

Econometrics and Statistics, 2017, vol. 2, issue C, 106-116

Abstract: Point estimation is considered in a multi-sample principal components setup, in a situation where it is suspected that the hypothesis of common principal components (CPC) holds. Preliminary test estimators of the various principal eigenvectors are proposed. Their asymptotic distributions are derived (i) under the CPC hypothesis, (ii) under sequences of hypotheses that are contiguous to the CPC hypothesis, and (iii) away from the CPC hypothesis. A Monte-Carlo study shows that the proposed estimators perform well, particularly so in the Gaussian case.

Keywords: Preliminary test estimation; Common principal components (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2452306217300060
Full text for ScienceDirect subscribers only. Contains open access articles

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:2:y:2017:i:c:p:106-116

DOI: 10.1016/j.ecosta.2017.01.004

Access Statistics for this article

Econometrics and Statistics is currently edited by E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

More articles in Econometrics and Statistics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().