Maximum likelihood estimation and inference for approximate factor models of high dimension
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- Jushan Bai & Kunpeng Li, 2016. "Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension," The Review of Economics and Statistics, MIT Press, vol. 98(2), pages 298-309, May.
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More about this item
Keywords
Factor analysis; Approximate factor models; Maximum likelihood; Kalman smoother; Principal components; Inferential theory;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-10-27 (Econometrics)
- NEP-ETS-2012-10-27 (Econometric Time Series)
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