Efficient estimation of nonstationary factor models

DOI10.1016/j.jspi.2016.10.003zbMath1359.62220OpenAlexW2147328133MaRDI QIDQ505082

Yong-Cai Geng, Sumit K. Garg

Publication date: 19 January 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.10.003

zbMATH Keywords

unit rootfactor modelfeasible generalized principal component estimationgeneralized principal component estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Global temperatures and greenhouse gases: a common features approach ⋮ Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic distribution of factor augmented estimators for panel regression
• Dynamic factor models
• Asymptotics for linear processes
• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
• Forecasting with nonstationary dynamic factor models
• Testing for a unit root in panels with dynamic factors
• Estimating cross-section common stochastic trends in nonstationary panel data
• Nonstationary dynamic factor analysis
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• A parametric estimation method for dynamic factor models of large dimensions
• GLS Estimation of Dynamic Factor Models
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Multiple Time Series Regression with Integrated Processes
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Forecasting Using Principal Components From a Large Number of Predictors
• Panel Data Models With Interactive Fixed Effects
• Tests of Conditional Predictive Ability
• EFFICIENT ESTIMATION OF FACTOR MODELS
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Inferential Theory for Factor Models of Large Dimensions
• The Generalized Dynamic Factor Model

This page was built for publication: Efficient estimation of nonstationary factor models