Bai, Jushan; Ng, Serena - In: Foundations and Trends(R) in Econometrics 3 (2008) 2, pp. 89-163
Econometric analysis of large dimensional factor models has been a heavily researched topic in recent years. This review surveys the main theoretical results that relate to static factor models or dynamic factor models that can be cast in a static framework. Among the topics covered are how to...