Martingale approximation of eigenvalues for common factor representation
In this paper a martingale approximation is used to derive an asymptotic distribution of simple positive eigenvalues of the sample covariance matrix for a stationary 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.
If 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.
Volume (Year): 83 (2013)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008.
"Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change,"
334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers ECO2008/17, European University Institute.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Magnus, J.R., 1985. "On differentiating eigenvalues and eigenvectors," Other publications TiSEM f410e3a5-ba9b-4787-b8cc-4, Tilburg University, School of Economics and Management.
- Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, 09.
- Magnus, Jan R., 1985. "On Differentiating Eigenvalues and Eigenvectors," Econometric Theory, Cambridge University Press, vol. 1(02), pages 179-191, August.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:233-237. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.