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Large Dimensional Factor Analysis
Jushan BaiSerena Ng
出版Now Publishers Inc, 2008
主題Business & Economics / EconometricsMathematics / Probability & Statistics / General
ISBN16019814499781601981448
URLhttp://books.google.com.hk/books?id=x0tXPrRsUg4C&hl=&source=gbs_api
EBookSAMPLE
註釋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. Large Dimensional Factor Analysis 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.