Large Dimensional Factor Analysis

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.

Large Dimensional Factor Analysis 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

List of contents

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.

Product details

• Authors: Jushan Bai, Serena Ng
• Publisher: Now Publishers Inc
• Languages: English
• Product format: Paperback / Softback
• Released: 05.06.2008
• EAN: 9781601981448
• ISBN: 978-1-60198-144-8
• No. of pages: 92
• Dimensions: 156 mm x 234 mm x 5 mm
• Weight: 155 g
• Series: Foundations and Trends(r) in E; Foundations and Trends (R) in Econometrics
• Subject: Social sciences, law, business > Business > Miscellaneous