Inference on factor structures in heterogeneous panels
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Publication:473358
DOI10.1016/j.jeconom.2014.08.004zbMath1332.62314OpenAlexW2131982933MaRDI QIDQ473358
Eduardo Rossi, Carolina Castagnetti, Lorenzo Trapani
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/6104/1/CastagnettiRossiTrapani_Nov_2013.pdf
extreme value distributionlarge panelsCCE estimatorprincipal component estimatortesting for factor structure
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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