Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance

DOI10.1016/j.econlet.2018.12.012zbMath1409.62254OpenAlexW2908487825WikidataQ128687010 ScholiaQ128687010MaRDI QIDQ1730160

Xianqiang Yang

Publication date: 11 March 2019

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.12.012

zbMATH Keywords

factor analysislatent factorlarge dimensional panelmacroeconomics and finance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Evaluating latent and observed factors in macroeconomics and finance
• Factor modeling for high-dimensional time series: inference for the number of factors
• Identification and estimation of a large factor model with structural instability
• Transformed contribution ratio test for the number of factors in static approximate factor models
• Robust determination for the number of common factors in the approximate factor models
• Eigenvalue difference test for the number of common factors in the approximate factor models
• Eigenvalue Ratio Test for the Number of Factors
• Consistently determining the number of factors in multivariate volatility modelling
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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