Efficient estimation of factor models
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Cites work
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- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Are more data always better for factor analysis?
- Asymptotics for linear processes
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- On Canonical Forms, Non-Negative Covariance Matrices and Best and Simple Least Squares Linear Estimators in Linear Models
- Stochastic Limit Theory
- Testing for a unit root in panels with dynamic factors
- The Generalized Dynamic Factor Model
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Cited in
(27)- Consistently recovering the signal from noisy functional data
- Preprocessing noisy functional data: a multivariate perspective
- Extracting a low-dimensional predictable time series
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Inferences in panel data with interactive effects using large covariance matrices
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- GLS estimation of dynamic factor models
- Tests for parameter instability in dynamic factor models
- Computational algorithms for the factor model
- Embracing the blessing of dimensionality in factor models
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Efficient estimation of nonstationary factor models
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- On bootstrapping panel factor series
- Model selection for factor analysis: some new criteria and performance comparisons
- Testing for time-varying factor loadings in high-dimensional factor models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
- Parametric estimation of long memory in factor models
- Approximate factor models with weaker loadings
- Mining the factor zoo: estimation of latent factor models with sufficient proxies
- Target PCA: transfer learning large dimensional panel data
- Common factors and common shocks: a tale of three (close) signal extraction procedures
- Feasible model-based principal component analysis: joint estimation of rank and error covariance matrix
- Sparse generalized factor models with weaker loadings
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Factor estimation using MCMC-based Kalman filter methods
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