Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship

DOI10.2307/2171815zbMath0873.62127OpenAlexW2080133663MaRDI QIDQ4339083

Stephen G. Donald

Publication date: 9 November 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171815

zbMATH Keywords

linear modelsimulation studynonparametric regressionconsistent testsobservable factorsmultivariate nonparametric relationshipnumber of nonparametric factorsrank of demandtesting arbitrage pricing theory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10)

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ON RANK ESTIMATION IN SYMMETRIC MATRICES: THE CASE OF INDEFINITE MATRIX ESTIMATORS ⋮ Local rank tests in a multivariate nonparametric relationship ⋮ A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation ⋮ Upward bias in the consumer price index under the zero-inflation economy ⋮ Factor Modelling for High-Dimensional Time Series: Inference and Model Selection ⋮ Testing the rank of Engel curves with endogenous expenditure ⋮ Determining the number of factors when the number of factors can increase with sample size ⋮ A Bayesian approach to bandwidth selection for multivariate kernel density estimation ⋮ GMM inference when the number of moment conditions in large ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Smart Alpha: active management with unstable and latent factors ⋮ Consistent specification tests for semiparametric/nonparametric models based on series estimation methods

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