Spurious Factor Analysis

DOI10.3982/ECTA16703zbMath1478.62153OpenAlexW3033746505MaRDI QIDQ5860017

Alexei Onatski, Chen Wang

Publication date: 18 November 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta16703

zbMATH Keywords

principal componentsfactor modelsspurious regressionKarhunen-Loève expansion

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

Spectral distribution of the sample covariance of high-dimensional time series with unit roots ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

This page was built for publication: Spurious Factor Analysis