Identification of Unknown Common Factors: Leaders and Followers
未知共同因子的识别：引领者与跟随者
This article has the following contributions. First, this article develops a new criterion for identifying whether or not a particular time series variable is a common factor in the conventional approximate factor model. Second, by modeling observed factors as a set of potential factors to be identified, this article reveals how to easily pin down the factor without performing a large number of estimations. This allows the researcher to check whether or not each individual…