INFERENCE IN GROUP FACTOR MODELS WITH AN APPLICATION TO MIXED-FREQUENCY DATA

We derive asymptotic properties of estimators and test statistics to determine—in a grouped data setting—common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit canonical co...

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Veröffentlicht in:	Econometrica 2019-07, Vol.87 (4), p.1267-1305
Hauptverfasser:	Andreou, E., Gagliardini, P., Ghysels, E., Rubin, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	canonical correlations Estimating techniques Industrial production Large panel mixed frequency output growth unobservable pervasive factors
Online-Zugang:	Volltext
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