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

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

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 distribution; bias; inconsistency; principal components; Marchenko-Pastur law; approximate factor models; weak factors; weakly influential factors

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62E20: Asymptotic distribution theory in statistics

Related Items

A Randomized Sequential Procedure to Determine the Number of Factors, Unnamed Item, LIMIT THEOREMS FOR FACTOR MODELS, FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control, The Dispersion Bias, Principal Eigenportfolios for U.S. Equities, Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, Estimation of factor-augmented panel regressions with weakly influential factors, Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model, Determining the number of factors with potentially strong within-block correlations in error terms, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components, Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues, Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions, Linear panel regressions with two-way unobserved heterogeneity, Approximate factor models with weaker loadings, Factor-augmented Model for Functional Data, A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection, Inferential theory for generalized dynamic factor models, Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization, Lasso Inference for High-Dimensional Time Series, Bi-cross-validation for factor analysis, Statistical inference in a random coefficient panel model, Sparse principal component analysis and iterative thresholding, On conditions in central limit theorems for martingale difference arrays, Forecasting with factor-augmented regression: a frequentist model averaging approach, The three-pass regression filter: a new approach to forecasting using many predictors, Asymptotic analysis of the squared estimation error in misspecified factor models, Unexplained factors and their effects on second pass \(R\)-squared's, On sample eigenvalues in a generalized spiked population model, Shrinkage estimation of dynamic panel data models with interactive fixed effects, Efficient estimation of approximate factor models via penalized maximum likelihood, Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle, Revisiting useful approaches to data-rich macroeconomic forecasting, Heterogeneity adjustment with applications to graphical model inference, Robust covariance estimation for approximate factor models, Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models, Panel models with interactive effects, Estimation of large dimensional factor models with an unknown number of breaks, On factor models with random missing: EM estimation, inference, and cross validation, Robust high-dimensional factor models with applications to statistical machine learning, Spiked separable covariance matrices and principal components, Statistical inference for principal components of spiked covariance matrices, Rank determination in tensor factor model, Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications, Efficient estimation of heterogeneous coefficients in panel data models with common shocks, Optimal prediction in the linearly transformed spiked model, Sequential testing for structural stability in approximate factor models, Estimating latent asset-pricing factors, Consistent estimation of high-dimensional factor models when the factor number is over-estimated, Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices, Permutation methods for factor analysis and PCA, Detecting granular time series in large panels, The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications, A note on the CLT of the LSS for sample covariance matrix from a spiked population model, Distributed estimation of principal eigenspaces, A robust procedure to build dynamic factor models with cluster structure, Variable selection in panel models with breaks, A diagnostic criterion for approximate factor structure, Optimal estimation and rank detection for sparse spiked covariance matrices, On the Marčenko-Pastur law for linear time series, Bootstrapping factor-augmented regression models, Random matrix theory in statistics: a review, Limiting spectral distribution of a symmetrized auto-cross covariance matrix, Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks, Detection of units with pervasive effects in large panel data models, Augmented factor models with applications to validating market risk factors and forecasting bond risk premia, Factor models with local factors -- determining the number of relevant factors, Factor models with many assets: strong factors, weak factors, and the two-pass procedure, Information criteria for latent factor models: a study on factor pervasiveness and adaptivity, Large dimensional latent factor modeling with missing observations and applications to causal inference, Most powerful test against a sequence of high dimensional local alternatives, Weak and strong cross‐section dependence and estimation of large panels

Cites Work