Asymptotic analysis of the squared estimation error in misspecified factor models

DOI10.1016/j.jeconom.2015.02.016zbMath1331.62480OpenAlexW2034409325MaRDI QIDQ494175

Alexei Onatski

Publication date: 31 August 2015

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

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/289336

zbMATH Keywords

misspecificationfactor modelloss efficiencynumber of factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

Related Items

A Randomized Sequential Procedure to Determine the Number of Factors, Simultaneous multiple change-point and factor analysis for high-dimensional time series, Factor models with local factors -- determining the number of relevant factors, Consistent estimation of high-dimensional factor models when the factor number is over-estimated, Robust Estimation of Large Panels with Factor Structures, Information criteria for latent factor models: a study on factor pervasiveness and adaptivity, Bi-cross-validation for factor analysis, A diagnostic criterion for approximate factor structure

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