Tests for the explanatory power of latent factors
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Publication:2062414
DOI10.1007/s00362-020-01216-xzbMath1483.62148OpenAlexW3118734672MaRDI QIDQ2062414
Publication date: 27 December 2021
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-020-01216-x
principal component analysisfactorsWaldprofile least squarescommon correlated effectsprofile likelihood ratio
Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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- Determining the Number of Factors in Approximate Factor Models
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