EFFICIENT ESTIMATION OF FACTOR MODELS

DOI10.1017/S0266466611000338zbMath1298.62094MaRDI QIDQ5389953

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Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Related Items (17)

TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS ⋮ Extracting a low-dimensional predictable time series ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ On the penalized maximum likelihood estimation of high-dimensional approximate factor model ⋮ Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models ⋮ Parametric estimation of long memory in factor models ⋮ Efficient estimation of approximate factor models via penalized maximum likelihood ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ Efficient estimation of nonstationary factor models ⋮ On bootstrapping panel factor series ⋮ Embracing the Blessing of Dimensionality in Factor Models ⋮ Consistently recovering the signal from noisy functional data ⋮ Model selection for factor analysis: Some new criteria and performance comparisons ⋮ Preprocessing noisy functional data: a multivariate perspective ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

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• On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
• The Generalized Dynamic Factor Model

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