Quasi maximum likelihood analysis of high dimensional constrained factor models

DOI10.1016/j.jeconom.2018.06.015zbMath1452.62413OpenAlexW2564648869MaRDI QIDQ1792465

Kunpeng Li, Q. Li, Lina Lü

Publication date: 12 October 2018

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/75676/1/MPRA_paper_75676.pdf

zbMATH Keywords

maximum likelihood estimationhigh dimensionalityconstrained factor modelsinferential theory

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (5)

Determining the number of factors in constrained factor models via Bayesian information criterion ⋮ A note on statistical analysis of factor models of high dimension ⋮ A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models ⋮ Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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