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Inference in Weak Factor Models

Inference in Weak Factor Models
Paper文書・図像類
Uematsu, Yoshimasa, Yamagata, TakashiThe Institute of Social and Economic Research, Osaka University2020-03Institute of Social and Economic Research Discussion Papers1080p.1-42
Other Libraries in Japan
  • Subject HeadingApproximate factor models Debiased SOFAR estimator Mul...
  • Note (General)...gh-dimensional approximate factor models. We posit a weak factor stru...

Estimation of Weak Factor Models

Estimation of Weak Factor Models
Paper文書・図像類
Uematsu, Yoshimasa, Yamagata, TakashiThe Institute of Social and Economic Research, Osaka University2020-03Institute of Social and Economic Research Discussion Papers1053p.1-17
Other Libraries in Japan
  • Subject HeadingApproximate factor models Weak factors with sparse fac...
  • Note (General)...version of the approximate factor models of Chamberlain and Rothschil...

Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small

Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small
Digital文書・図像類
Tanaka, Shinya, Kurozumi, EijiInstitute of Economic Research, Hitotsubashi University2010-12
Available onlineOther Libraries in Japan
  • Summary, etc....estimators for approximate factor models when N is sma...... support using approximate factor models when N is sma......y for applying approximate factor models to low-dimensional data, whi...
  • Subject HeadingApproximate factor model Principal components, Quasi-m...

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