Large Dimensional Factor Analysis - Brossura

Bai, Jushan; Ng, Serena

Brossura

ISBN 10: 1601981449 ISBN 13: 9781601981448

Casa editrice: Now Pub, 2008

Riassunto

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.

The book 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.

Dettagli dell'edizione

• Editore: Now Pub
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 1601981449
• ISBN 13: 9781601981448
• Rilegatura: Copertina flessibile
• Numero di pagine: 78
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile