Asymptotics of the principal components estimator of large factor models with weakly influential factors

DOI10.1016/j.jeconom.2012.01.034zbMath1443.62497OpenAlexW1975570699MaRDI QIDQ527936

Alexei Onatski

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000449

zbMATH Keywords

asymptotic distributionbiasinconsistencyprincipal componentsMarchenko-Pastur lawapproximate factor modelsweak factorsweakly influential factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20)

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