Are more data always better for factor analysis?
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Cites work
- A PANIC attack on unit roots and cointegration.
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Factor-GMM estimation with large sets of possibly weak instruments
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 1432780 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
Cited in
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- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
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- Confidence intervals in regressions with estimated factors and idiosyncratic components
- Panel models with interactive effects
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- Subdata selection algorithm for linear model discrimination
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- Bayesian variable selection and model averaging in the arbitrage pricing theory model
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- Forecasting using targeted diffusion indexes
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- Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Forecasting with factor-augmented regression: a frequentist model averaging approach
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- Selecting the number of factors in approximate factor models using group variable regularization
- SFQRA: scaled factor-augmented quantile regression with aggregation in conditional mean forecasting
- Modelling large dimensional datasets with Markov switching factor models
- Nowcasting monthly GDP with big data: a model averaging approach
- Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
- Frequency-Band Estimation of the Number of Factors
- Identification through sparsity in factor models: the _1-rotation criterion
- MCA: high-dimensional modal component analysis towards the mode
- Sufficient forecasting using factor models
- Estimation of high-dimensional linear factor models with grouped variables
- Information, data dimension and factor structure
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
- Interpolation and backdating with a large information set
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