Approximate factor models with weaker loadings

Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where Λ0′Λ0/Nα is positive definite in the limit when α=1, early work established convergen...

Full description

Bibliographic Details

Published in:	Journal of econometrics Vol. 235; no. 2; pp. 1893 - 1916
Main Authors:	Bai, Jushan, Ng, Serena
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.08.2023
Subjects:	econometrics factor analysis Factor augmented regressions Low rank decomposition Principal components sample size Weak factors C31 C30 Low rank decomposition Factor augmented regressions Weak factors Principal components
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!