Efficient estimation of nonstationary factor models
DOI10.1016/J.JSPI.2016.10.003zbMATH Open1359.62220OpenAlexW2147328133MaRDI QIDQ505082FDOQ505082
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 19 January 2017
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2016.10.003
Recommendations
- Efficient estimation of factor models
- Nonstationary dynamic factor analysis
- Fitting dynamic factor models to non-stationary time series
- Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
factor modelunit rootfeasible generalized principal component estimationgeneralized principal component estimation
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Forecasting Using Principal Components From a Large Number of Predictors
- Title not available (Why is that?)
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Inferential Theory for Factor Models of Large Dimensions
- The Generalized Dynamic Factor Model
- Asymptotics for linear processes
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Panel data models with interactive fixed effects
- Testing for a unit root in panels with dynamic factors
- Multiple Time Series Regression with Integrated Processes
- A PANIC attack on unit roots and cointegration.
- Tests of Conditional Predictive Ability
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Nonstationary dynamic factor analysis
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimating cross-section common stochastic trends in nonstationary panel data
- GLS estimation of dynamic factor models
- Efficient estimation of factor models
- A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
- Forecasting with nonstationary dynamic factor models
- A parametric estimation method for dynamic factor models of large dimensions
- Asymptotic distribution of factor augmented estimators for panel regression
- Dynamic factor models
Cited In (9)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Efficient estimation of factor models
- Spurious factor analysis
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Principal components estimation and identification of static factors
- Fitting dynamic factor models to non-stationary time series
- Locally stationary factor models: identification and nonparametric estimation
- Global temperatures and greenhouse gases: a common features approach
- Title not available (Why is that?)
This page was built for publication: Efficient estimation of nonstationary factor models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q505082)
