Asymptotics of the principal components estimator of large factor models with weakly influential factors

Journal of Econometrics

Volumn 168, Issue 2, 2012, Pages 244-258

  Onatski, Alexei ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Approximate factor models; Asymptotic distribution; Bias; Inconsistency; Marchenko Pastur law; Principal components; Weak factors; Weakly influential factors

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; BIAS; FACTOR MODEL; INCONSISTENCY; INFLUENTIAL FACTORS; MARCHENKO-PASTUR LAW; PRINCIPAL COMPONENTS; WEAK FACTORS;

COVARIANCE MATRIX; ESTIMATION; INVESTMENTS; SAMPLING; STATISTICAL TESTS;

FACTOR ANALYSIS;

EID: 84860588430     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.034     Document Type: Article

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