Likelihood-Based Specification Tests for Dynamic Factor Models

DOI10.14490/jjss.43.91zbMath1306.62104OpenAlexW2126779467MaRDI QIDQ2926308

Masaru Chiba

Publication date: 23 October 2014

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.43.91

zbMATH Keywords

state-space modeldynamic factor modelspecification testLagrange multiplier test

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Simultaneous Statistical Inference in Dynamic Factor Models

This page was built for publication: Likelihood-Based Specification Tests for Dynamic Factor Models