Tests for group-specific heterogeneity in high-dimensional factor models

DOI10.1016/j.jmva.2023.105233arXiv2109.09049OpenAlexW3199297754MaRDI QIDQ6183687

Razvan Sufana, Antoine A. Djogbenou

Publication date: 4 January 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.09049

zbMATH Keywords

permutationfactor modelsstatistical testgroup-specific heterogeneity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Exact distribution theory in statistics (62E15) Multivariate analysis (62Hxx)

Cites Work

• Exact and asymptotically robust permutation tests
• Dependent central limit theorems and invariance principles
• Exact testing with random permutations
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• On the Behavior of Randomization Tests Without a Group Invariance Assumption
• Forecasting Using Principal Components From a Large Number of Predictors
• Randomization Tests Under an Approximate Symmetry Assumption
• GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?*
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• Testing Statistical Hypotheses
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Stochastic Limit Theory
• Model selection in factor-augmented regressions with estimated factors

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