Spurious factor analysis

DOI10.3982/ECTA16703MaRDI QIDQ5860017zbMATH OpenOpenAlexFDO

Authors Alexei Onatski, Chen Wang

Publication date 18 November 2021

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta16703

zbMATH Keywords

factor modelsKarhunen-Loève expansionprincipal componentsspurious regression

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Factor analysis and principal components; correspondence analysis (62H25)

Recommendations

• Nonstationary dynamic factor analysis
• L’analyse en composantes principales de variables non stationnaires
• Statistical analysis of factor models of high dimension
• Spurious regression
• Efficient estimation of nonstationary factor models

Cited in

(8)

• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• Ridge Regression Under Dense Factor Augmented Models
• On LASSO for high dimensional predictive regression
• Spurious factors in data with local-to-unit roots
• Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
• Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects

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