Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models
高维因子模型中群组特异异质性的检验
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables. In many relevant applications in economics and finance, heterogenous comovements specific to some known groups of variables naturally arise, and reflect distinct cyclical movements within those groups. This paper develops two new statistical tests that can be used to investigate whether there is…