A note on factor models with latent group structures

C-Tier
Journal: Economics Letters
Year: 2025
Volume: 252
Issue: C

Authors (2)

Bian, Yulin (not in RePEc) Su, Liangjun (Tsinghua University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper studies a factor model with latent group structures. Given initial PCA estimates, we propose to apply the sequential binary segmentation algorithm (SBSA) to estimate the group structures and re-estimate the factors and loadings. In the case of unknown number of groups, we propose to estimate it via an information criterion. We establish the asymptotic properties of the proposed estimators. Simulations demonstrate that our proposed estimator outperforms some competitive approaches in finite samples.

Technical Details

RePEc Handle
repec:eee:ecolet:v:252:y:2025:i:c:s0165176525001946
Journal Field
General
Author Count
2
Added to Database
2026-01-29