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Identification theory for high dimensional static and dynamic factor models · Study

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ArticleIdentification theory for high dimensional static and dynamic factor models

Jushan Bai2013

Article2013

Identification theory for high dimensional static and dynamic factor models

Jushan Bai · Peng Wang

31 citations·0/0 files stored·Journal of Econometrics

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Psychometric Methodologies and Testing Statistical Methods and Applications Statistical Methods and Inference

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References

2002Determining the Number of Factors in Approximate Factor Models 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 2002Forecasting Using Principal Components From a Large Number of Predictors 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2003Inferential Theory for Factor Models of Large Dimensions 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1956Statistical Inference in Factor Analysis

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Year2013

Typearticle

Published2013-11-12

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations31

Files0 public / 0

ShelfPsychometric Methodologies and Testing

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doi10.1016/j.jeconom.2013.11.001

openalex_workW2109724895

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