arXiv 3 Nov 2022 · Econometrics · 3 citations (OpenAlex)
arXiv:2211.01921 · PDF · DOI · OpenAlex · Extracted main text
We review Principal Components (PC) estimation of a large approximate factor model for a panel of $n$ stationary time series and we provide new derivations of the asymptotic properties of the estimators, which are derived under a minimal set of assumptions requiring only the existence of 4th order moments. To this end, we also review various alternative sets of primitive sufficient conditions for mean-squared consistency of the sample covariance matrix. Finally, we discuss in detail the issue of identification of the loadings and factors as well as its implications for inference.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai, J. and S. Ng (2020) Simpler proofs for approximate factor models of large dimensions | 1.000 | 6 | 3 | 100% |
| 2 | Bai, J (2003) Inferential theory for factor models of large dimensions | 0.973 | 51 | 9 | 92% |
| 3 | Mardia, K., J. Kent, and J. Bibby (1979) Multivariate Analysis | 0.928 | 4 | 3 | 100% |
| 4 | Fan, J., Y. Liao, and M. Mincheva (2013) Large covariance estimation by thresholding principal orthogonal complements | 0.894 | 7 | 4 | 71% |
| 5 | Forni, M., D. Giannone, M. Lippi, and L. Reichlin (2009) Opening the black box: Structural factor models versus structural VARs | 0.843 | 4 | 4 | 75% |
| 6 | Yu, Y., T. Wang, and R. J. Samworth (2015) A useful variant of the Davis-Kahan theorem for statisticians | 0.817 | 11 | 8 | 55% |
| 7 | Bai, J. and S. Ng (2013) Principal components estimation and identification of static factors | 0.811 | 4 | 2 | 100% |
| 8 | Chamberlain, G. and M. Rothschild (1983) Arbitrage, factor structure, and mean-variance analysis on large asset markets | 0.811 | 4 | 2 | 100% |
| 9 | Forni, M., M. Hallin, M. Lippi, and P. Zaffaroni (2017) Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis | 0.737 | 5 | 3 | 40% |
| 10 | Stock, J. H. and M. W. Watson (2002) Forecasting using principal components from a large number of predictors | 0.737 | 3 | 3 | 67% |
Showing the top 10 of 80 scored citations.