Asymptotic analysis of the squared estimation error in misspecified factor models
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Cites work
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- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Determining the Number of Factors in Approximate Factor Models
- Dynamic linear panel regression models with interactive fixed effects
- Eigenvalue ratio test for the number of factors
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- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Improved penalization for determining the number of factors in approximate factor models
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Least Squares Model Averaging
- Matrix Analysis
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Some Comments on C P
- Sparse models and methods for optimal instruments with an application to eminent domain
- The incidental parameter problem since 1948
- The sampling distribution of forecasts from a first-order autoregression
- Weak and strong cross-section dependence and estimation of large panels
Cited in
(8)- Factor models with local factors -- determining the number of relevant factors
- A randomized sequential procedure to determine the number of factors
- Robust Estimation of Large Panels with Factor Structures
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Bi-cross-validation for factor analysis
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- A diagnostic criterion for approximate factor structure
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