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 clustering structures in large factor models. We develop a procedure that will endogenously assign variables to groups, determine the number of groups, and estimate common factors for each group. The grouped factor model provides not only an alternative way to factor rotations in discovering orthogonal and nonorthogonal clusterings in a factor space. It offers also an effective method to explore more general clustering structures in a factor space which are invisible by factor rotations: the factor space can consist of subspaces of various dimensions that may be disjunct, orthogonal, or intersected with any angels. Hence a grouped factor model may provide a more detailed insight into data and thus also more understandable and interpretable factors.
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 ; Diffusion Processes 
Item ID:  34075 
Depositing User:  Pu Chen 
Date Deposited:  14. Oct 2011 03:12 
Last Modified:  16. Feb 2013 07:05 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/34075 
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A Grouped Factor Model. (deposited 20. Jan 2011 17:04)
 A grouped factor model. (deposited 14. Oct 2011 03:12) [Currently Displayed]