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Martingale approximation for common factor representation

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  • Bystrov, Victor
  • di Salvatore, Antonietta

Abstract

In this paper a martingale approximation is used to derive the limiting distribution of simple positive eigenvalues of the sample covariance matrix for a stationary linear process. The derived distribution can be used to study stability of the common factor representation based on the principal component analysis of the covariance matrix.

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File URL: http://mpra.ub.uni-muenchen.de/37669/
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File URL: http://mpra.ub.uni-muenchen.de/39840/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37669.

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Date of creation: 26 Mar 2012
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Handle: RePEc:pra:mprapa:37669

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Keywords: martingale approximation; dynamic factor model; eigenvalue; stability;

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  1. Magnus, Jan R., 1985. "On Differentiating Eigenvalues and Eigenvectors," Econometric Theory, Cambridge University Press, vol. 1(02), pages 179-191, August.
  2. Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197, Octomber.
  3. Magnus, J.R., 1985. "On differentiating eigenvalues and eigenvectors," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153213, Tilburg University.
  4. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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