Assessing Fit in Common Factor Models Using Empirical Moment Functions

• In Event: Evaluating Fit

Abstract

A comprehensive fit assessment framework is developed for common factor models. Residuals are defined using empirical moment functions, which estimate the conditional moments of response variables given common factors. Formal statistical tests are then constructed, and their performance is evaluated via simulations and real data examples.

Authors

• Youjin Sung, University of Maryland, College Park

• Yang Liu, University of Maryland, College Park