Andreou, E.; Gagliardini, P.; Ghysels, E.; Rubin, M. - In: Econometrica 87 (2019) 4, pp. 1267-1305
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...