Large dimensional factor analysis
Author(s)
Bibliographic Information
Large dimensional factor analysis
(Foundations and trends in econometrics, 3:2 (2008))
Now Publishers, c2008
Available at 7 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
"This book is originally published as Foundations and trends in econometrics, volume 3 issue 2 (2008)"--Back cover
Bibliography: p. 71-78
Description and Table of Contents
Description
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.
The book 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 root tests and common trends, and how to estimate panel cointegration models.
Table 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.
by "Nielsen BookData"