Identification of matrix-valued factor models
Published in Economics Bulletin, 2024
Cheung, Y.L. (2024). "Identification of matrix-valued factor models" Economics Bulletin, 44(2), 550-556. doi: --
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The analysis of matrix-valued time series has been popular in recent years. When the dimensions of the matrix observations are large, one can use the matrix-valued factor model to extract information from the data. However, as in standard factor analysis, the common factors and factor loadings are not separately identifiable. This note considers two sets of identification restrictions that help exactly identify the model.