Large Dimensional Factor Analysis - Couverture souple

Bai, Jushan; Ng, Serena

Couverture souple

ISBN 10 : 1601981449 ISBN 13 : 9781601981448

Editeur : now publishers Inc, 2008

Synopsis

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.

Détails de l'édition

• Éditeur: now publishers Inc
• Date d'édition: 2008
• Langue: anglais
• ISBN 10: 1601981449
• ISBN 13: 9781601981448
• Reliure: Broché
• Nombre de pages: 92
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible