Evaluating latent and observed factors in macroeconomics and finance

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 507-537

  Bai, Jushan ^a,b   Ng, Serena ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Tsinghua University   (China)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Canonical coefficients; Generated regressors; Principal components; Proxies

Indexed keywords

FINANCE; INVENTORY CONTROL; REGRESSION ANALYSIS; SOCIAL SCIENCES; STATISTICAL METHODS; TIME SERIES ANALYSIS;

CANONICAL COEFFICIENTS; GENERATED REGRESSORS; PRINCIPAL COMPONENTS; PROXIES;

INDUSTRIAL ECONOMICS;

EID: 33644538319     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.015     Document Type: Conference Paper

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