Are more data always better for factor analysis?
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Publication:291634
DOI10.1016/J.JECONOM.2005.01.027zbMATH Open1337.62345OpenAlexW3125714952MaRDI QIDQ291634FDOQ291634
Authors: Jean Boivin, Serena Ng 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w9829.pdf
Recommendations
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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Cited In (69)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Efficient estimation of factor models
- Real-time nowcasting of nominal GDP with structural breaks
- Interpolation and backdating with a large information set
- Quantile regression models with factor‐augmented predictors and information criterion
- Did financial factors matter during the Great Recession?
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Subdata selection algorithm for linear model discrimination
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Forecasting using targeted diffusion indexes
- Rank regularized estimation of approximate factor models
- Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- Determining the number of factors with potentially strong within-block correlations in error terms
- Tactical sales forecasting using a very large set of macroeconomic indicators
- Factor models with local factors -- determining the number of relevant factors
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Constructing Common Factors from Continuous and Categorical Data
- Inference in latent factor regression with clusterable features
- Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
- Forecasting by factors, by variables, by both or neither?
- GDP nowcasting with ragged-edge data: a semi-parametric modeling
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Forecast comparison of principal component regression and principal covariate regression
- Confidence intervals in regressions with estimated factors and idiosyncratic components
- Real-time factor model forecasting and the effects of instability
- Model selection for generalized linear models with factor-augmented predictors
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Panel models with interactive effects
- In search for yield? Survey-based evidence on bank risk taking
- Estimation of high-dimensional linear factor models with grouped variables
- Information, data dimension and factor structure
- Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
- Double instrumental variable estimation of interaction models with big data
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
- Sufficient forecasting using factor models
- Clustering and forecasting multiple functional time series
- Forecasting economic time series using targeted predictors
- A fragmented-periodogram approach for clustering big data time series
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- The three-pass regression filter: a new approach to forecasting using many predictors
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Can we use seasonally adjusted variables in dynamic factor models?
- Factor-GMM estimation with large sets of possibly weak instruments
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Asymptotic analysis of the squared estimation error in misspecified factor models
- Estimation of factor-augmented panel regressions with weakly influential factors
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
- Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem
- Bayesian variable selection and model averaging in the arbitrage pricing theory model
- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Macroeconomic impacts on commodity prices: China vs. the United States
- Deep learning models for inflation forecasting
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- Diffusion Indexes With Sparse Loadings
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
- Advances in nowcasting economic activity: the role of heterogeneous dynamics and fat tails
- Interpretable Sparse Proximate Factors for Large Dimensions
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Target PCA: transfer learning large dimensional panel data
- Large volatility matrix analysis using global and national factor models
- A review on design inspired subsampling for big data
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