Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306528 
Year of Publication: 
2024
Series/Report no.: 
Working Paper No. 24.06
Publisher: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
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.
Subjects: 
Factor model
Global and local identification
Set representation
JEL: 
C10
C52
C55
E44
F31
Document Type: 
Working Paper

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