Inferential Theory for Factor Models of Large Dimensions

Keywords

Factor (programming language), Econometrics, Economics, Mathematics, Mathematical economics

References

• Performance Measurement with the Arbitrage Pricing Theory: A New Framework for AnalysisGregory Connor, Robert A. Korajczyk — 1986
• Measurement error and latent variables in econometricsThomas Wansbeek — 2000
• Risk and Return in an Equilibrium Apt: Application of a New Test MethodologyGregory Connor, Robert A. Korajczyk — 1988
• A core inflation index for the euro areaRiccardo Cristadoro, Mario Forni, Lucrezia Reichlin — 2001
• Determining the Number of Factors in Approximate Factor ModelsJushan Bai, Serena Ng — 2000
• Reference cycles: the NBER methodology revisitedMario Forni, Marc Hallin, Marco Lippi — 2000
• Large Datasets, Small Models and Monetary Policy in EuropeMassimiliano Marcellino, Carlo A. Favero — 2001
• The Rank of Demand Systems: Theory and Nonparametric EstimationArthur Lewbel — 1991
• Macroeconometrics : Past and futureClive W. J. Granger — 2001
• FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELSGary Chamberlain — 1983
• Aggregation and the Microfoundations of Dynamic MacroeconomicsMario Forni, Marco Lippi — 1998
• The Generalized Dynamic-Factor Model: Identification and EstimationMario Forni, Marc Hallin, Marco Lippi — 2000
• ON CONVERGENCE OF STOCHASTIC PROCESSESJohn Lamperti — 1962
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976
• THE ECONOMETRICS OF FINANCIAL MARKETSJohn Y. Campbell, Andrew W. Lo, A. Craig MacKinlay — 1996
• The empirical foundations of the arbitrage pricing theoryBruce N. Lehmann, David M. Modest — 1988
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both N and T are LargeJinyong Hahn, Guido M. Kuersteiner — 2002
• CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*William F. Sharpe — 1964
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle DynamicsMario Forni, Lucrezia Reichlin — 1998
• An Introduction to Multivariate Statistical AnalysisRobb J. Muirhead, T. W. Anderson — 1959

Cited by

• Covariate Unit Root Test for Cross-Sectionally Dependent Panel DataEiji Kurozumi, Daisuke Yamazaki, Kaddour Hadri — 2012
• The pairwise approach to model a large set of disaggregates with common trendsAntoni Espasa, Guillermo Carlomagno — 2014
• Estimation and inference in cross-sectionally dependent panel data modelsHande Karabiyik — 2015
• A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund SelectionWei Lan, Lilun Du — 2014
• Asymptotic Efficiency in Factor Models and Dynamic Panel Data ModelsHaruo Iwakura, Ryo Okui — 2014
• Essays on Testing Hypotheses When Non-Stationarity Exists in Panel Data ModelsSang Gon Na — 2011
• Nonparametric Tests for Poolability in Panel Data Models with Cross Section DependenceSainan Jin, Liangjun Su — 2010
• Croissance et convergence des pays de la zone CFA : une étude par les données de panel non stationnairesA. Niang — 2011
• Essays on unit root testing in panel dataChong Zhao — 2014
• An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure ModelsJanuj Juneja — 2010
• Bayesian Semi-parametric Factor ModelsAnirban Bhattacharya — 2012
• More is not always better : back to the Kalman filter in dynamic factor modelsEsther Ruiz, Pilar Poncela — 2012
• Four Essays on InvestmentsOlga Kolokolova — 2009
• Asymptotics for Panel Models with Common Shocks - Extended VersionChihwa Kao, Lorenzo Trapani, Giovanni Urga — 2010
• Capturing Cross-Sectional Correlation with Time Series: with an Application to Unit Root TestChor-yiu Sin, Wang Ya-nan — 2007
• A New Core Inflation Indicator for Turkey (Turkiye Ekonomisi Icin Yeni Bir Cekirdek Enflasyon Gostergesi)Necati Tekatlı — 2010
• A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization AlgorithmNikolaos Zirogiannis, Yorghos Tripodis — 2013
• A Survey of Stochastic Frontier Models and Likely Future DevelopmentsYoon Shik Park — 2009
• The Baltic Dry Index: cyclicalities, forecasting and hedging strategiesFotis Papailias, Dimitrios D. Thomakos, Jiadong Liu — 2016
• Large Dimensional Covariance Matrix Estimation Via a Factor ModelJianqing Fan, Yingying Fan, Jinchi Lv — 2006

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