Skip to main content Skip to navigation

Our Seminars & Workshops



Show all calendar items

Econometrics Seminar - Patrick Gagliardini (Lugano)

- Export as iCalendar
Location: S2.79

Title: Eigenvalue tests for the number of latent factorsin short panels

Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
This paper studies new tests for the number of latent factors in a large cross-sectionalfactor model with small time dimension. These tests are based on the eigenvalues ofvariance-covariance matrices. We establish the asymptotic distributional results usingexpansion theorems based on perturbation theory for symmetric matrices. Our frame-work accommodates semi-strong factors in the systematic components. We propose anovel statistical test for weak factors against strong or semi-strong factors. We providean empirical application to US equity data. Evidence for a dierent number of latentfactors according to market downturns and market upturns, is statistically ambiguous.In particular, our results contradicts the common wisdom of a single factor model inbear markets

Show all calendar items