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

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 188
Issue: C

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 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:188:y:2020:i:c:s0165176519304550
Journal Field
General
Author Count
2
Added to Database
2026-01-25