Two-step estimation of a factor model in the presence of observable factors

DOI10.1016/J.ECONLET.2009.08.008zbMath1181.62094OpenAlexW2066314518MaRDI QIDQ1046288

Hae Shin Hwang

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.08.008

zbMATH Keywords

FAVARdynamic factor modeltwo-step estimationobservable factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

Cites Work

• Generalized inverses. Theory and applications.
• Quadratic Forms and Idempotent Matrices with Random Elements

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