Search Results - subject:"Approximate factor models"

A Robust Criterion for Determining the Number of Factors in Approximate Factor Models

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - European Centre for Advanced Research in Economics and … - 2009

We modify the criterion by Bai and Ng (2002) for determining the number of factors in approximate factor models. As in …

Persistent link: https://www.econbiz.de/10008568324

A robust criterion for determining the number of static factors in approximate factor models.

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - European Central Bank - 2008

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multi-plying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Liška...

Persistent link: https://www.econbiz.de/10005068633

A robust criterion for determining the number of static factors in approximate factor models.

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2008

Persistent link: https://www.econbiz.de/10011604949

A robust criterion for determining the number of static factors in approximate factor models

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2007

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power of the function itself as in the Hallin and Lika...

Persistent link: https://www.econbiz.de/10010328415

A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - Laboratory of Economics and Management (LEM), Scuola … - 2007

x8x23 A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models Lucia Alessi∗ Matteo …. Keywords: Approximate factor models, Information criterion, Number of factors JEL-classification: C52 ∗E-mail: lucia … of static factors in approximate factor models. It refines the Bai and Ng [2002] criterion, which is one of the most …

Persistent link: https://www.econbiz.de/10005481643

Asymptotics of the principal components estimator of large factor models with weakly influential factors

Onatski, Alexei - In: Journal of Econometrics 168 (2012) 2, pp. 244-258

This paper introduces a drifting-parameter asymptotic framework to derive accurate approximations to the finite sample distribution of the principal components (PC) estimator in situations when the factors’ explanatory power does not strongly dominate the explanatory power of the...

Persistent link: https://www.econbiz.de/10010577511

Estimation of high-dimensional linear factor models with grouped variables

Heaton, Chris; Solo, Victor - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 348-367

We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variables that belong to the same group, and for weak correlation between the disturbances of...

Persistent link: https://www.econbiz.de/10010572275

How Pervasive is the World Business Cycle?

Cerqueira, Pedro - In: Open Economies Review 22 (2011) 1, pp. 119-142

Persistent link: https://www.econbiz.de/10008926074