Rank regularized estimation of approximate factor models
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Publication:2323367
DOI10.1016/J.JECONOM.2019.04.021zbMATH Open1452.62405OpenAlexW2938549779WikidataQ128063694 ScholiaQ128063694MaRDI QIDQ2323367FDOQ2323367
Authors: Jushan Bai, Serena Ng 
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.021
Recommendations
- Determining the Number of Factors in Approximate Factor Models
- Statistical analysis of sparse approximate factor models
- Eigenvalue difference test for the number of common factors in the approximate factor models
- A random-perturbation-based rank estimator of the number of factors
- Asymptotic distribution of factor augmented estimators for panel regression
nuclear-norm minimizationlow rank decompositionrobust principal componentsminimum-ranksingular-value thresholding
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20)
Cites Work
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Cited In (25)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Principal Eigenportfolios for U.S. Equities
- On factor models with random missing: EM estimation, inference, and cross validation
- Factor models with local factors -- determining the number of relevant factors
- Subspace clustering for panel data with interactive effects
- Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization
- Interpretable Sparse Proximate Factors for Large Dimensions
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Statistical inference for principal components of spiked covariance matrices
- Panel data models with time-varying latent group structures
- Factor-Adjusted Regularized Model Selection
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- Improved penalization for determining the number of factors in approximate factor models
- Title not available (Why is that?)
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Profile GMM estimation of panel data models with interactive fixed effects
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Nuclear norm regularized quantile regression with interactive fixed effects
- Consistently recovering the signal from noisy functional data
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Approximate factor models with weaker loadings
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