EFFICIENT ESTIMATION OF FACTOR MODELS

By In Choi. Econometric Theory, 2011

81 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/174f7b855ec85661779a9f426d677d1773a0c69f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jushan Bai
2. Serena Ng
3. Mark W. Watson
4. Jianqing Fan
5. James H. Stock
6. Peng Wang
7. Yuan Liao
8. A. Inoue

In Finance

1. Jushan Bai
2. Mark W. Watson
3. James H. Stock
4. Serena Ng
5. Peng Wang
6. Yuan Liao
7. A. Inoue
8. Jianqing Fan

Citations in the corpus

• Identification and Bayesian Estimation of Dynamic Factor Models (2015, methodology): “The generalized least-square estimator for nondynamic factor models was studied by Breitung and Tenhofen (2011) and Choi (2012).”
• Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version (2013, unknown): “For estimation we replace the unobservable factors F by their principle component estimate”
• Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, background): “Choi (2012) shows that if Σ̂e is consistent for Σe then the feasible generalized PC estimator of {Ft} and Λ is asymptotically more efficient than principal components.”
• Efficient Estimation of Approximate Factor Models (2012, background): “The first assumption sets a condition on the sparsity of Σu0, under which Fan et al. (2012) showed that the POET estimator Σ̂ (1) u is consistent under the operator norm.”
• Identification and Estimation of Dynamic Factor Models (2012, methodology): “The generalized least squares estimator for non-dynamic factor models is studied by Breitung (2011) and Choi (2012).”
• GLS Estimation of Dynamic Factor Models (2011, methodology): “It is interesting to compare the result of Theorem 1 with the asymptotic distribution obtained by Choi (2011). In the latter article it is assumed that E(ete′t) = for all t, where et = [e1t, .”
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS (2013, background): “In addition, Choi (2012) proposes a feasible generalized principal component estimator (FGPCE) for dynamic factors.”
• PROJECTED PRINCIPAL COMPONENT ANALYSIS IN FACTOR MODELS (2014, background): “See, for instance, Stock and Watson (2002), Bai (2003), Bai and Ng (2002), Breitung and Tenhofen (2011), Choi (2012), Lam and Yao (2012), among others., The factor model (1.1) has also been extensively studied in the statistics literature.”
• STATISTICAL ANALYSIS OF FACTOR MODELS OF HIGH DIMENSION (2012, unknown): “[12] also considers a two-step approach.”