Estimation and inference of dynamic structural factor models with over-identifying restrictions

DOI10.1016/j.jeconom.2017.09.001zbMath1394.62077OpenAlexW2277323173MaRDI QIDQ1652946

X. Han

Publication date: 17 July 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.09.001

zbMATH Keywords

asymptotic distributionshigh-dimensional factor modelsidentification and estimationstructural impulse responses

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors ⋮ The likelihood ratio test for structural changes in factor models

Cites Work

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• Generalized reduced rank tests using the singular value decomposition
• Statistical analysis of factor models of high dimension
• Time series: theory and methods.
• Modified Wald tests under nonregular conditions
• Tests for overidentifying restrictions in factor-augmented VAR models
• Principal components estimation and identification of static factors
• Identification theory for high dimensional static and dynamic factor models
• Forecasting Using Principal Components From a Large Number of Predictors
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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