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- W2188416627 abstract "Econometric analysis of large dimensional factor models has been a heavily researched topic in recent years. This paper 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 determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy of 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. The fundamental result that justifies these analyses is that the method of asymptotic principal components consistently estimates the true factor space. We use simulations to better understand the conditions that can aect the precision of the factor estimates." @default.
- W2188416627 created "2016-06-24" @default.
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- W2188416627 date "2008-01-01" @default.
- W2188416627 modified "2023-09-24" @default.
- W2188416627 title "RECENT DEVELOPMENTS IN LARGE DIMENSIONAL FACTOR ANALYSIS" @default.
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