Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance

DOI10.1016/j.econlet.2018.12.012zbMath1409.62254MaRDI QIDQ1730160

Xianqiang Yang

Publication date: 11 March 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.12.012

zbMATH Keywords

factor analysis; latent factor; large dimensional panel; macroeconomics and finance

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics