Evaluating latent and observed factors in macroeconomics and finance

DOI10.1016/j.jeconom.2005.01.015zbMath1337.62341OpenAlexW1983734102MaRDI QIDQ292037

Jushan Bai, Serena Ng

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.015

zbMATH Keywords

principal componentsgenerated regressorscanonical coefficientsproxies

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Macroeconomic theory (monetary models, models of taxation) (91B64) Non-Markovian processes: hypothesis testing (62M07)

Related Items (27)

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Cites Work

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• Asset Prices in an Exchange Economy
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• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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