Interpreting the likelihood ratio statistic in factor models when sample size is small

Geweke, JF; Singleton, KJ

Interpreting the likelihood ratio statistic in factor models when sample size is small

Geweke, JF Singleton, KJ

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Publication Type:: Journal Article
Citation:: Journal of the American Statistical Association, 1980, 75 (369), pp. 133 - 137
Issue Date:: 1980-01-01

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Field	Value	Language
dc.contributor.author	Geweke, JF	en_US
dc.contributor.author	Singleton, KJ	en_US
dc.date.issued	1980-01-01	en_US
dc.identifier.citation	Journal of the American Statistical Association, 1980, 75 (369), pp. 133 - 137	en_US
dc.identifier.issn	0162-1459	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12981
dc.description.abstract	The use of the likelihood ratio statistic in testing the goodness of fit of the exploratory factor model has no formal justification when, as is often the case in practice, the usual regularity conditions are not met. In a Monte Carlo experiment it is found that the asymptotic theory seems to be appropriate when the regularity conditions obtain and sample size is at least 30. When the regularity conditions are not satisfied, the asymptotic theory seems to be misleading in all sample sizes considered. © 1980, Taylor & Francis Group, LLC.	en_US
dc.relation.ispartof	Journal of the American Statistical Association	en_US
dc.relation.isbasedon	10.1080/01621459.1980.10477442	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Interpreting the likelihood ratio statistic in factor models when sample size is small	en_US
dc.type	Journal Article
utslib.citation.volume	369	en_US
utslib.citation.volume	75	en_US
utslib.for	010405 Statistical Theory	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1603 Demography	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	369	en_US
pubs.publication-status	Published	en_US
pubs.volume	75	en_US

Abstract:

The use of the likelihood ratio statistic in testing the goodness of fit of the exploratory factor model has no formal justification when, as is often the case in practice, the usual regularity conditions are not met. In a Monte Carlo experiment it is found that the asymptotic theory seems to be appropriate when the regularity conditions obtain and sample size is at least 30. When the regularity conditions are not satisfied, the asymptotic theory seems to be misleading in all sample sizes considered. © 1980, Taylor & Francis Group, LLC.

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http://hdl.handle.net/10453/12981