Chen, Pu (2010): A Grouped Factor Model.
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Abstract
In this paper we present a grouped factor model that is designed to explore grouped structures in factor models. We develop an econometric theory consisting of a consistent classification rule to assign variables to their respective groups and a class of consistent model selection criteria to determine the number of groups as well as the number of factors in each group. As a result, we propose a procedure to estimate grouped factor models, in which the unknown number of groups, the unknown relationship between variables to their groups as well as the unknown number of factors in each group are statistically determined based on observed data. The procedure can help to estimate common factor that are pervasive across all groups and groupspecific factors that are pervasive only in the respective groups. Simulations show that our proposed estimation procedure has satisfactory finite sample properties.
Item Type:  MPRA Paper 

Original Title:  A Grouped Factor Model 
English Title:  A Grouped Factor Model 
Language:  English 
Keywords:  Factor Models; Generalized Principal Component Analysis; Model Selection 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  28083 
Depositing User:  Pu Chen 
Date Deposited:  20. Jan 2011 17:04 
Last Modified:  19. Feb 2013 19:40 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/28083 
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