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Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit canonical correlations), we derive a parameter\u2010free asymptotic Gaussian distribution. We show how the group factor setting applies to mixed\u2010frequency data. As an empirical illustration, we address the question whether Industrial Production (IP) is still the dominant factor driving the U.S. economy using a mixed\u2010frequency data panel of IP and non\u2010IP sectors. We find that a single common factor explains 89% of IP output growth and 61% of total GDP growth despite the diminishing role of manufacturing.<\/jats:p>","DOI":"10.3982\/ecta14690","type":"journal-article","created":{"date-parts":[[2019,7,24]],"date-time":"2019-07-24T01:04:27Z","timestamp":1563930267000},"page":"1267-1305","source":"Crossref","is-referenced-by-count":72,"title":["Inference in Group Factor Models With an Application to Mixed\u2010Frequency Data"],"prefix":"10.3982","volume":"87","author":[{"given":"E.","family":"Andreou","sequence":"first","affiliation":[{"name":"Department of Economics, University of Cyprus"},{"name":"CEPR"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"P.","family":"Gagliardini","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Universit\u00e0 della Svizzera italiana (USI, Lugano)"},{"name":"Swiss Finance Institute (SFI)"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"E.","family":"Ghysels","sequence":"additional","affiliation":[{"name":"University of North Carolina\u2014Chapel Hill"},{"name":"Kenan-Flagler Business School"},{"name":"CEPR"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"M.","family":"Rubin","sequence":"additional","affiliation":[{"name":"EDHEC Business School"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2019]]},"reference":[{"key":"ecta200048-bib-0001","doi-asserted-by":"crossref","first-page":"1203","DOI":"10.3982\/ECTA8968","volume":"81","author":"Ahn","year":"2013","journal-title":"Econometrica"},{"key":"ecta200048-bib-0002","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1214\/aop\/1176995577","volume":"6","author":"Aldous","year":"1963","journal-title":"Annals of Probability"},{"key":"ecta200048-bib-0003","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1198\/073500106000000585","volume":"25","author":"Amengual","year":"2007","journal-title":"Journal of Business and Economic Statistics"},{"key":"ecta200048-bib-0004","volume-title":"An Introduction to Multivariate Statistical Analysis","author":"Anderson","year":"2003"},{"key":"ecta200048-bib-0005","doi-asserted-by":"crossref","first-page":"556","DOI":"10.1093\/jjfinec\/nbu026","volume":"13","author":"Ando","year":"2015","journal-title":"Journal of Financial Econometrics"},{"key":"ecta200048-bib-0006","doi-asserted-by":"crossref","unstructured":"Andreou, E., P. 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