Investigating finite sample properties of estimators for approximate factor models when N is small

We examine finite sample properties of estimators for approximate factor models when N is small. Contrary to the “rule-of-thumb”, we find that the principal component analysis estimator and the quasi-maximum likelihood estimator perform well even when N is small.

MoreLess

Year of publication:	2012
Authors:	Tanaka, Shinya ; Kurozumi, Eiji
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 465-468
Publisher:	Elsevier
Subject:	Approximate factor model \| Principal components \| Quasi-maximum likelihood

More details

Type of publication:	Article
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041573