Large Dimensional Factor Analysis
Seiten
2008
now publishers Inc (Verlag)
978-1-60198-144-8 (ISBN)
now publishers Inc (Verlag)
978-1-60198-144-8 (ISBN)
Provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference.
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference.
The book discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference.
The book discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
1 Introduction. 2 Factor Models. 3 Principal Components and Related Identities. 4 Theory: Stationary Data. 5 Applications. 6 Panel Regression Models with a factor Structure in the Errors. 7 Theory: Non-Stationary Data. 8 How Precise are the Factor Estimates? 9 Conclusions. References.
Erscheint lt. Verlag | 4.6.2008 |
---|---|
Reihe/Serie | Foundations and Trends® in Econometrics |
Verlagsort | Hanover |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 143 g |
Themenwelt | Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie |
ISBN-10 | 1-60198-144-9 / 1601981449 |
ISBN-13 | 978-1-60198-144-8 / 9781601981448 |
Zustand | Neuware |
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