Time varying factor models with possibly strongly correlated noises

DOI10.1080/02664763.2020.1753024OpenAlexW3016674945MaRDI QIDQ5861570

Jian Wu, Xiangyong Tan, Mingjing Chen

Publication date: 1 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2020.1753024

zbMATH Keywords

principal componentsfactorscross-sectional dependencetime varyingcommon correlated effects

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

F-test and z-test for high-dimensional regression models with a factor structure

Cites Work

• Sieve estimation of panel data models with cross section dependence
• Large panels with common factors and spatial correlation
• Unbiased CCE estimator for interactive fixed effects panels
• On time-varying factor models: estimation and testing
• Eigenvalue Ratio Test for the Number of Factors
• Weak and strong cross‐section dependence and estimation of large panels
• LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Projected principal component analysis in factor models

This page was built for publication: Time varying factor models with possibly strongly correlated noises