Principal components estimation and identification of static factors

From MaRDI portal
Publication:2442574

DOI10.1016/j.jeconom.2013.03.007zbMath1284.62350OpenAlexW2110285888MaRDI QIDQ2442574

Jushan Bai, Serena Ng

Publication date: 4 April 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.03.007




Related Items

Statistical inference for principal components of spiked covariance matricesNon-asymptotic properties of spectral decomposition of large Gram-type matrices and applicationsMeasuring dynamic pandemic-related policy effects: a time-varying parameter multi-level dynamic factor model approachManifold Optimization-Assisted Gaussian Variational ApproximationEstimation and inference of dynamic structural factor models with over-identifying restrictionsDouble instrumental variable estimation of interaction models with big dataUsing principal component analysis to estimate a high dimensional factor model with high-frequency dataLarge covariance estimation through elliptical factor modelsFactor models with local factors -- determining the number of relevant factorsHigh-Dimensional Factor Regression for Heterogeneous SubpopulationsHigh-dimensional latent panel quantile regression with an application to asset pricingNearest comoment estimation with unobserved factorsOn Generalized Latent Factor Modeling and Inference for High-Dimensional Binomial DataIgnoring cross-correlated idiosyncratic components when extracting factors in dynamic factor modelsParametric estimation of long memory in factor modelsBinary response models for heterogeneous panel data with interactive fixed effectsApproximate factor models with weaker loadingsLikelihood approach to dynamic panel models with interactive effectsSimultaneous Spatial Panel Data Models with Common ShocksIdentification of Time-Varying Factor ModelsForecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as PredictorsIdentifying latent factors based on high-frequency dataLarge factor model estimation by nuclear norm plus \(\ell_1\) norm penalizationDivide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series DataLarge-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved HeterogeneityHeterogeneity adjustment with applications to graphical model inferenceStatistical analysis of factor models of high dimensionGeneralized Factor Model for Ultra-High Dimensional Correlated Variables with Mixed TypesMatrix Factor Analysis: From Least Squares to Iterative ProjectionBootstrapping factor-augmented regression modelsInstrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structureBootstrapping factor models with cross sectional dependenceSimple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effectsConsistent estimation of time-varying loadings in high-dimensional factor modelsBayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identificationDiagnostic tests for homoskedasticity in spatial cross-sectional or panel modelsA semiparametric latent factor model for large scale temporal data with heteroscedasticityTesting for international business cycles: a multilevel factor model with stochastic factor selectionTests of equal accuracy for nested models with estimated factorsSufficient forecasting using factor modelsTwo-directional simultaneous inference for high-dimensional modelsConfidence intervals in regressions with estimated factors and idiosyncratic componentsBayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneityQuantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved HeterogeneityA note on the asymptotic properties of least squares estimation in high dimensional constrained factor modelsIdentification theory for high dimensional static and dynamic factor modelsProjected principal component analysis in factor modelsExact and asymptotic tests on a factor model in low and large dimensions with applicationsPrincipal envelope modelRank regularized estimation of approximate factor modelsBootstrap Inference in Regressions with Estimated Factors and Serial CorrelationThe quantitative effects of tax foresight: not all states are equalModel selection in factor-augmented regressions with estimated factorsA spatial panel quantile model with unobserved heterogeneityFactor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal ComponentsEigendecomposition of the Mean-Variance Portfolio Optimization Model



Cites Work


This page was built for publication: Principal components estimation and identification of static factors