Principal components estimation and identification of static factors
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Cites work
- A note on the identification of restricted factor loading matrices
- Computational algorithms for the factor model
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Dynamic factors in the presence of blocks
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 3396952 (Why is no real title available?)
- Identification of causal factor models of stationary time series
- Inferential Theory for Factor Models of Large Dimensions
- Measurement error and latent variables in econometrics
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
Cited in
(only showing first 100 items - show all)- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
- Estimation and inference of dynamic structural factor models with over-identifying restrictions
- Double instrumental variable estimation of interaction models with big data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Heterogeneity adjustment with applications to graphical model inference
- Consistent estimation of time-varying loadings in high-dimensional factor models
- Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
- Confidence intervals in regressions with estimated factors and idiosyncratic components
- A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
- A spatial panel quantile model with unobserved heterogeneity
- Statistical inference for principal components of spiked covariance matrices
- Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
- Measuring dynamic pandemic-related policy effects: a time-varying parameter multi-level dynamic factor model approach
- Nearest comoment estimation with unobserved factors
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
- Bootstrapping factor models with cross sectional dependence
- Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
- Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
- A semiparametric latent factor model for large scale temporal data with heteroscedasticity
- Testing for international business cycles: a multilevel factor model with stochastic factor selection
- Principal envelope model
- Rank regularized estimation of approximate factor models
- The quantitative effects of tax foresight: not all states are equal
- Cross-sectional averages versus principal components
- Large covariance estimation through elliptical factor models
- Bootstrapping factor-augmented regression models
- Identification theory for high dimensional static and dynamic factor models
- Factor models with local factors -- determining the number of relevant factors
- Identifying latent factors based on high-frequency data
- Statistical analysis of factor models of high dimension
- Manifold Optimization-Assisted Gaussian Variational Approximation
- Tests of equal accuracy for nested models with estimated factors
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Eigendecomposition of the mean-variance portfolio optimization model
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Estimation of dynamic models on the factors of marginal principal component analysis
- Inferential Theory for Factor Models of Large Dimensions
- Model selection in factor-augmented regressions with estimated factors
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Projected principal component analysis in factor models
- High-Dimensional Factor Regression for Heterogeneous Subpopulations
- High-dimensional latent panel quantile regression with an application to asset pricing
- On Generalized Latent Factor Modeling and Inference for High-Dimensional Binomial Data
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
- Parametric estimation of long memory in factor models
- Binary response models for heterogeneous panel data with interactive fixed effects
- Approximate factor models with weaker loadings
- Generalized Factor Model for Ultra-High Dimensional Correlated Variables with Mixed Types
- Likelihood approach to dynamic panel models with interactive effects
- Simultaneous Spatial Panel Data Models with Common Shocks
- Identification of Time-Varying Factor Models
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- Large factor model estimation by nuclear norm plus _1 norm penalization
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- Inference in Sparsity-Induced Weak Factor Models
- Estimation of Sparsity-Induced Weak Factor Models
- Selection inconsistency for factor-augmented regressions
- Bootstrap Prediction Intervals for Factor Models
- Spatial Modeling Approach for Dynamic Network Formation and Interactions
- Community Detection in Partial Correlation Network Models
- Long Memory Factor Model: On Estimation of Factor Memories
- Dynamic Effects of Credit Shocks in a Data-Rich Environment
- Selecting the number of factors in multi-variate time series
- High-dimensional overdispersed generalized factor model with application to single-cell sequencing data analysis
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- Multivariate spatiotemporal models with low rank coefficient matrix
- B-BIND: biophysical Bayesian inference for neurodegenerative dynamics
- Dynamic spatial panel data models with interactive fixed effects: M-estimation and inference under fixed or relatively small T
- A projection-based approach for interactive fixed effects panel data models
- Inference on matrix-valued factor models under a fixed time horizon
- Spurious factors in data with local-to-unit roots
- Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series
- Consistent model selection for factor-augmented regression within hierarchical factor structures
- Making distributionally robust portfolios feasible in high dimension
- High-dimensional factor analysis for network-linked data
- Distributed loading estimation for general factor model
- Which global cycle? A stochastic factor selection approach for global macro-financial cycles
- Prediction of Cognitive Function via Brain Region Volumes with Applications to Alzheimer’s Disease Based on Space-Factor-Guided Functional Principal Component Analysis
- Factor-assisted learning of ultrahigh-dimensional covariates with distributed functional and scalar mixtures with applications to the Avon Longitudinal Study of Parents and Children
- Sieve estimation of state-varying factor models
- Global identification, estimation and inference of structural impulse response functions in factor models: a unified framework
- Combining Instrumental Variable Estimators for a Panel Data Model with Factors
- Mode-adaptive factor models
- Model selection for generalized linear models with weak factors
- Bayesian neural networks for macroeconomic analysis
- Sparse Bayesian factor analysis when the number of factors is unknown (with discussion)
- Selecting the number of factors in approximate factor models using group variable regularization
- Group integrative dynamic factor models with application to multiple subject brain connectivity
- \texttt{FedPower}: privacy-preserving distributed eigenspace estimation
- Robust matrix factor analysis method with adaptive parameter adjustment using Cauchy weighting
- Modelling large dimensional datasets with Markov switching factor models
- Reduced Rank Spatio-Temporal Models
- On high-dimensional wavelet eigenanalysis
- Bayesian Dynamic Matrix Factor Models
- Tail-robust factor modelling of vector and tensor time series in high dimensions
- Reduced rank multivariate spatial autoregressive model for large-scale networks
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