Efficient estimation of nonstationary factor models

DOI10.1016/j.jspi.2016.10.003zbMath1359.62220MaRDI QIDQ505082

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

unit root; factor model; feasible generalized principal component estimation; generalized principal component estimation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)