Quasi maximum likelihood analysis of high dimensional constrained factor models

DOI10.1016/J.JECONOM.2018.06.015MaRDI QIDQ1792465zbMATH OpenOpenAlexFDO

Authors Kunpeng Li, Qi Li, Lina Lü

Publication date 12 October 2018

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

Full work available at URL https://mpra.ub.uni-muenchen.de/75676/1/MPRA_paper_75676.pdf

zbMATH Keywords

maximum likelihood estimationhigh dimensionalityconstrained factor modelsinferential theory

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• scientific article; zbMATH DE number 3396952 (Why is no real title available?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Common risk factors in the returns on stocks and bonds
• Constrained factor models
• Determining the Number of Factors in Approximate Factor Models
• Efficient semiparametric estimation of the Fama-French model and extensions
• Eigenvalue ratio test for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting emergency medical service call arrival rates
• High-dimensional covariance matrix estimation in approximate factor models
• Inferential Theory for Factor Models of Large Dimensions
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Projected principal component analysis in factor models
• Risks of large portfolios
• Statistical analysis of factor models of high dimension

Cited in

(10)

• A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Constrained factor models
• Efficient estimation of approximate factor models via penalized maximum likelihood
• Determining the number of factors in constrained factor models via Bayesian information criterion
• Doubly constrained factor models with applications
• Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya
• On the statistical analysis of high-dimensional factor models
• A note on statistical analysis of factor models of high dimension
• Statistical analysis of factor models of high dimension

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