Are more data always better for factor analysis?

DOI10.1016/j.jeconom.2005.01.027zbMath1337.62345OpenAlexW3125714952MaRDI QIDQ291634

Jean Boivin, Serena Ng

Publication date: 10 June 2016

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

Full work available at URL: http://www.nber.org/papers/w9829.pdf

zbMATH Keywords

forecastingprincipal componentsfactor modelslarge \(N\) and \(T\)

Mathematics Subject Classification ID

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Cites Work

• Factor-GMM estimation with large sets of possibly weak instruments
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
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