IDEAS home Printed from https://ideas.repec.org/p/szg/worpap/2406.html
   My bibliography  Save this paper

A geometric approach to factor model identification

Author

Listed:

Abstract

We use the geometric representation of factor models to represent the factor loading structure by sets corresponding to unit-specific non-zero loadings. We formulate global and local identification conditions based on set conditions. We propose two algorithms to efficiently evaluate Sato (1992)’s counting rule. We demonstrate the efficiency and the performance of the algorithms with a simulation study. An application to exchange rate returns illustrates the approach.

Suggested Citation

  • Sylvia Kaufmann & Markus Pape, 2024. "A geometric approach to factor model identification," Working Papers 24.06, Swiss National Bank, Study Center Gerzensee.
    • Handle: RePEc:szg:worpap:2406
    as

    Download full text from publisher

    File URL: http://www.szgerzensee.ch/fileadmin/Dateien_Anwender/Dokumente/working_papers/wp-2406.pdf
    File Function: Full text
    Download Restriction: None
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:szg:worpap:2406. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: library (email available below). General contact details of provider: https://szgerzensee.ch/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.