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...

Celý popis

Podrobná bibliografia

Vydané v:	Journal of econometrics Ročník 235; číslo 2; s. 1893 - 1916
Hlavní autori:	Bai, Jushan, Ng, Serena
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.08.2023
Predmet:	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
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!