A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
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Publication:1788006
DOI10.1016/j.econlet.2018.07.029zbMath1402.62130MaRDI QIDQ1788006
Kunpeng Li, Guowei Cui, Jingjie Xiang
Publication date: 8 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.07.029
asymptotic distribution; least squares estimation; bias-corrected estimator; constrained factor models
62H25: Factor analysis and principal components; correspondence analysis
62E20: Asymptotic distribution theory in statistics
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Cites Work
- Quasi maximum likelihood analysis of high dimensional constrained factor models
- Principal components estimation and identification of static factors
- Efficient Semiparametric Estimation of the Fama-French Model and Extensions
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Constrained Factor Models
- Panel Data Models With Interactive Fixed Effects
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models