Asymptotic analysis of the squared estimation error in misspecified factor models
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Publication:494175
DOI10.1016/j.jeconom.2015.02.016zbMath1331.62480MaRDI QIDQ494175
Publication date: 31 August 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/289336
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62J05: Linear regression; mixed models
Related Items
A Randomized Sequential Procedure to Determine the Number of Factors, Robust Estimation of Large Panels with Factor Structures, Bi-cross-validation for factor analysis, Simultaneous multiple change-point and factor analysis for high-dimensional time series, Consistent estimation of high-dimensional factor models when the factor number is over-estimated, A diagnostic criterion for approximate factor structure, Factor models with local factors -- determining the number of relevant factors, Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
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