Evaluating latent and observed factors in macroeconomics and finance

By Jushan Bai, Serena Ng. 2006

243 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0d10fb5318b7268299e909924ac9b5794230140e

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Citations in the corpus

Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006, methodology): “Bernanke et al. (2002) showed that the information exploited in factor-augmented autoregressions (FAVAR) is important to properly identify the monetary transmission mechanism. However, the theoretical properties of the estimates obtained from factor augmented regressions are not well understood. In ”
Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects (2016, unknown): “Bai and Ng (2006, 2007) provide some empirical examples of the determination of number of factors in economic applications.”
Impact of corruption in public sector on environmental quality: Implications for sustainability in BRICS and next 11 countries (2019, methodology): “Appendix 1: Snapshot of the EKC literature on N11 and BRICS countries Literature of N11 Countries Author (Year) Methodology Country Year Verdict Sharker et al. (2010) Bootstrap Technique Bangladesh 1972-2000 Not Supported Rabbi et al. (2015) Cointegration Analysis Bangladesh 1972-2012 Supported Fari”
Understanding Systematic Risk: A High‐Frequency Approach (2020, unknown): “The general case of a static large dimensional factor model is treated in Bai (2003) and Bai and Ng (2002). Fan et al. (2013) study an approximate factor structure with sparsity.”
TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS (2013, background): “Bai and Ng (2006) consider statistics to determine if the observed and latent factors are exactly the same and apply their tests to assess how well the Fama and French factors and several business cycle indicators can approximate the latent factors in portfolio and stock returns.”
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, methodology): “Specifically, Bai and Ng (2006a) show that as N!”
Detecting big structural breaks in large factor models (2014, methodology): “…illustrate the consequences of having big breaks in the factor loadings, consider the following simple Factor Augmented Regression (FAR) model (s e Bai and Ng, 2006): yt = a ′Ft +b′Wt +ut , t = 1,2, ..,T (12) whereWt is a small set of observable variables and ther × 1 vectorFt contains ther…”
Specification Test for Panel Data Models with Interactive Fixed Effects (2014, unknown): “Bai and Ng (2006) develop several tests to evaluate the latent and observed factors in macroeconomics and finance.”