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Tests for the explanatory power of latent factors

Chen, MJ

Chen, MJ (corresponding author), Chongqing Technol & Business Univ, Chongqing Key Lab Social Econ & Appl Stat, Chongqing, Peoples R China.; Chen, MJ (corresponding author), Chongqing Technol & Business Univ, Sch Math & Stat, Chongqing, Peoples R China.; Chen, MJ (corresponding author), Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China.

STATISTICAL PAPERS, ; ():

Abstract

We propose herein a factor-augmented semi-varying coefficient model and discuss whether the extracted factors have significant explanatory power. We f......

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