Inferential Theory for Factor Models of Large Dimensions

DOI10.1111/1468-0262.00392zbMath1136.62354OpenAlexW2014165366MaRDI QIDQ5472956

Jushan Bai

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00392

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (only showing first 100 items - show all)

Direct shrinkage estimation of large dimensional precision matrix ⋮ Factor-driven two-regime regression ⋮ Exploratory factor analysis -- parameter estimation and scores prediction with high-dimensional data ⋮ High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ Are more data always better for factor analysis? ⋮ The common and specific components of dynamic volatility ⋮ Evaluating latent and observed factors in macroeconomics and finance ⋮ Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? ⋮ High dimensional covariance matrix estimation using a factor model ⋮ Discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions, by Li Pan and Dimitris Politis ⋮ Consistent noisy independent component analysis ⋮ A dynamic factor approach to nonlinear stability analysis ⋮ Parameters measuring bank risk and their estimation ⋮ On the systematic and idiosyncratic volatility with large panel high-frequency data ⋮ Estimation and inference of dynamic structural factor models with over-identifying restrictions ⋮ Dynamic factor models ⋮ Revisiting useful approaches to data-rich macroeconomic forecasting ⋮ First-differenced inference for panel factor series ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Panel data models with multiple time-varying individual effects ⋮ Tactical sales forecasting using a very large set of macroeconomic indicators ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris ⋮ Efficient estimation of approximate factor models via penalized maximum likelihood ⋮ Testing covariates in high dimension linear regression with latent factors ⋮ Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean? ⋮ Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models ⋮ Heterogeneity adjustment with applications to graphical model inference ⋮ High-dimensional covariance matrix estimation in approximate factor models ⋮ Statistical analysis of factor models of high dimension ⋮ On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix ⋮ A nonlinear panel data model of cross-sectional dependence ⋮ Detecting big structural breaks in large factor models ⋮ Inference on factor structures in heterogeneous panels ⋮ High dimensional mean-variance optimization through factor analysis ⋮ Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance ⋮ Factor models and variable selection in high-dimensional regression analysis ⋮ High-dimensional functional time series forecasting: an application to age-specific mortality rates ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ The three-pass regression filter: a new approach to forecasting using many predictors ⋮ Risks of large portfolios ⋮ Regime switching panel data models with interactive fixed effects ⋮ Testing for factor loading structural change under common breaks ⋮ Robust covariance estimation for approximate factor models ⋮ Large-dimensional factor modeling based on high-frequency observations ⋮ Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data ⋮ Consistent estimation of time-varying loadings in high-dimensional factor models ⋮ Weak \(\sigma\)-convergence: theory and applications ⋮ Dynamic factor analysis for short panels: estimating performance trajectories for water utilities ⋮ Efficient estimation of nonstationary factor models ⋮ Identification and estimation of a large factor model with structural instability ⋮ Least squares estimation of large dimensional threshold factor models ⋮ On the determination of the number of factors using information criteria with data-driven penalty ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ Testing against constant factor loading matrix with large panel high-frequency data ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ A two-step estimator for large approximate dynamic factor models based on Kalman filtering ⋮ Interpolation and backdating with a large information set ⋮ Asymptotics of the principal components estimator of large factor models with weakly influential factors ⋮ Sieve estimation of panel data models with cross section dependence ⋮ Asymptotic distribution of factor augmented estimators for panel regression ⋮ On bootstrapping panel factor series ⋮ A robust sign test for panel unit roots under cross sectional dependence ⋮ A generalized nonlinear IV unit root test for panel data with cross-sectional dependence ⋮ Model specification in panel data unit root tests with an unknown break ⋮ Sufficient forecasting using factor models ⋮ Maximum likelihood estimation for dynamic factor models with missing data ⋮ High dimensional stochastic regression with latent factors, endogeneity and nonlinearity ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Large dimension forecasting models and random singular value spectra ⋮ Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data ⋮ Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Power-law partial correlation network models ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models ⋮ Monetary, fiscal and oil shocks: evidence based on mixed frequency structural FAVARs ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Identifying latent grouped patterns in panel data models with interactive fixed effects ⋮ Quasi maximum likelihood analysis of high dimensional constrained factor models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ A spatio-temporal model of house prices in the USA ⋮ Panels with non-stationary multifactor error structures ⋮ Editorial. Factor structures for panel and multivariate time series data ⋮ Fitting dynamic factor models to non-stationary time series ⋮ Testing for structural breaks in dynamic factor models ⋮ Testing for a unit root in a random coefficient panel data model ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships ⋮ Factor-Adjusted Regularized Model Selection ⋮ Bi-cross-validation of the SVD and the nonnegative matrix factorization ⋮ Projected estimation for large-dimensional matrix factor models ⋮ Multivariate modelling of long memory processes with common components ⋮ Estimation of high-dimensional linear factor models with grouped variables ⋮ Information, data dimension and factor structure ⋮ Estimation of dynamic mixed double factors model in high-dimensional panel data ⋮ Estimation of a panel data model with parametric temporal variation in individual effects

This page was built for publication: Inferential Theory for Factor Models of Large Dimensions