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Comparison of factor spaces of two related populations

Author

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  • Chen, K. H.
  • Robinson, J.

Abstract

A canonical decomposition of two factor spaces obtained from the same variables observed on two populations is considered to obtain statistics of use in the comparison of these spaces. In particular, statistics are derived to test for a common factor space. The asymptotic distributions of these statistics are obtained in a variety of cases using perturbation methods. The methods are applied to a numerical example and results of a simulation are given to indicate the accuracy of the asymptotic results.

Suggested Citation

  • Chen, K. H. & Robinson, J., 1989. "Comparison of factor spaces of two related populations," Journal of Multivariate Analysis, Elsevier, vol. 28(2), pages 190-203, February.
    • Handle: RePEc:eee:jmvana:v:28:y:1989:i:2:p:190-203
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    Cited by:

    1. Schott, James R., 1998. "Estimating correlation matrices that have common eigenvectors," Computational Statistics & Data Analysis, Elsevier, vol. 27(4), pages 445-459, June.
    2. Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016. "Is Industrial Production Still the Dominant Factor for the US Economy?," Swiss Finance Institute Research Paper Series 16-11, Swiss Finance Institute.
    3. Teruo Fujioka, 1993. "An approximate test for common principal component subspaces in two groups," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 147-158, March.
    4. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc.

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