Efficient estimation of nonstationary factor models

DOI10.1016/J.JSPI.2016.10.003MaRDI QIDQ505082zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelunit rootfeasible generalized principal component estimationgeneralized principal component estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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

Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
• A parametric estimation method for dynamic factor models of large dimensions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotic distribution of factor augmented estimators for panel regression
• Asymptotics for linear processes
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Dynamic factor models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient estimation of factor models
• Estimating cross-section common stochastic trends in nonstationary panel data
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting with nonstationary dynamic factor models
• GLS estimation of dynamic factor models
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• Inferential Theory for Factor Models of Large Dimensions
• Multiple Time Series Regression with Integrated Processes
• Nonstationary dynamic factor analysis
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Panel data models with interactive fixed effects
• Testing for a unit root in panels with dynamic factors
• Tests of Conditional Predictive Ability
• The Generalized Dynamic Factor Model

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
• scientific article; zbMATH DE number 3948001 (Why is no real title available?)

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)