Chen, Pu (2010): A Grouped Factor Model.
This is the latest version of this item.

PDF
MPRA_paper_36082.pdf Download (362kB)  Preview 
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:  36082 
Depositing User:  Pu Chen 
Date Deposited:  20. Jan 2012 13:22 
Last Modified:  15. Feb 2013 22:51 
References:  Bai, J. (2003). Inference on factor models of large dimensions. Econometrica, 71:135–172. Bai, J. and Ng, S. (2002). Determing the number of factors in approximate factor models. Econometrica, 70:191–221. Boivin, J. and Ng, S. (2006). Are more data always better for factor analysis? Journal of Econometrics, 132:169–194. Connor, G. and Korajzyk, R. (1986). A test for the number of factors in an approximate factor model. Journal of Finance, 48:1263–1291. Flury, B. (1984). Common principal components in groups. Journal of the American Statistical Association, 79:892–898. — (1987). Two generalizations of the common principal component model. Biometrika, 62:59–69. Goyal, A., Perignon, C., and Villa, C. (2008). How common are common return factors across nyse and nasdaq? Journal of Financial Economics, 90:252– 271. Heaton, C. and Solo, V. (2009). Grouped variable approximate factor analysis. 15th International Conference:Computing in Economics and Finance. Johnson, R. A. and Wichern, D. W. (1992). Applied Multivariate Statistical Analysis. PrenticeHall International, 3rd edition. Krzanowski, W. J. (1979). Betweengroups comparison of principal components. Journal of the American Statistical Association, 74:703–707. Ludvigson, S. C. and Ng, S. (2009). A factor analysis of bond risk premia. NBER Working Paper No. 15188. Schott, J. (1999). Partial common principal component subspaces. Biometrika, 86:899–908. Stock, J. H. and Watson, M. W. (2002a). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97:1167–1179. — (2002b). Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics, 20:147–162. Vidal, R., Ma, Y., and Piazzi, J. (2004). A new gpca algorithm for clustering subspaces by fitting, differentiating and dividing polynomials. CVPR, page 510. Vidaly, R. (2003). Generalized principal component analysis(gpca): an algebraic geometric approach to subspace clustering and motion segmentation. A dissertation submitted in partial satisfaction of the requirements for the degree of Doctor of Philosophy. Vidaly, R., Ma, Y., and Sastry, S. (2003). Generalized principal component analysis (gpca). Uncertainty in Artificial Intelligence, pages 255–268. Yang, A. Y., Rao, S., Wagner, A., Ma, Y., and Fossum, R. M. (2005). Hilbert functions and applications to the estimation of subspace arrangements. ICCV. Yedla, M., Pathakota, S. R., and Srinivasa, T. M. (2010). Enhancing kmeans clustering algorithm with improved initial center. International Journal of Computer Science and Information Technologies, 1 (2):121–125. Zhang, C. and Xia, S. (2009). Kmeans clustering algorithm with improved initial center. Proceedings of Second International Workshop on Knowledge Discovery and Data Mining, pages 790–792. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/36082 
Available Versions of this Item

A Grouped Factor Model. (deposited 20. Jan 2011 17:04)

A grouped factor model. (deposited 14. Oct 2011 03:12)
 A Grouped Factor Model. (deposited 20. Jan 2012 13:22) [Currently Displayed]

A grouped factor model. (deposited 14. Oct 2011 03:12)