Asymptotic analysis of the squared estimation error in misspecified factor models

DOI10.1016/J.JECONOM.2015.02.016zbMATH Open1331.62480OpenAlexW2034409325MaRDI QIDQ494175FDOQ494175

Authors: Alexei Onatski 

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

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zbMATH Keywords

factor modelmisspecificationloss efficiencynumber of factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

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Cited In (8)

• A randomized sequential procedure to determine the number of factors
• Factor models with local factors -- determining the number of relevant factors
• Robust Estimation of Large Panels with Factor Structures
• Consistent estimation of high-dimensional factor models when the factor number is over-estimated
• Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
• Bi-cross-validation for factor analysis
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• A diagnostic criterion for approximate factor structure

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