Maximum likelihood factor analysis with rank-deficient sample covariance matrices
AbstractThis paper characterises completely the circumstances in which maximum likelihood estimation of the factor model is feasible when the sample covariance matrix is rank deficient. This situation will arise when the number of variables exceeds the number of observations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 98 (2007)
Issue (Month): 4 (April)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- M. Hashem Pesaran & Elisa Tosetti, 2011.
"Large panels with common factors and spatial correlation,"
- Pesaran, M. Hashem & Tosetti, Elisa, 2011. "Large panels with common factors and spatial correlation," Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
- Pesaran, M.H. & Tosetti, E., 2007. "Large Panels with Common Factors and Spatial Correlations," Cambridge Working Papers in Economics 0743, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Tosetti, Elisa, 2007. "Large Panels with Common Factors and Spatial Correlations," IZA Discussion Papers 3032, Institute for the Study of Labor (IZA).
- M. Hashem Pesaran & Elisa Tosetti, 2007. "Large Panels with Common Factors and Spatial Correlations," CESifo Working Paper Series 2103, CESifo Group Munich.
- Sarafidis, Vasilis & Wansbeek, Tom, 2010.
"Cross-sectional Dependence in Panel Data Analysis,"
20367, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.