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Factor Models with Local Factors—Determining the Number of Relevant Factors

Citations

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Cited by:

  1. Matteo Barigozzi & Marc Hallin, 2026. "The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 47(1), pages 201-219, January.
  2. Bai, Jushan & Ng, Serena, 2023. "Approximate factor models with weaker loadings," Journal of Econometrics, Elsevier, vol. 235(2), pages 1893-1916.
  3. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021. "Measurement of factor strength: Theory and practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
  4. Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
  5. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
  6. Margaritella, Luca & Stauskas, Ovidijus, 2026. "New tests of equal forecast accuracy for factor-augmented regressions with weaker loadings," International Journal of Forecasting, Elsevier, vol. 42(3), pages 776-795.
  7. Saman Banafti & Tae-Hwy Lee, 2022. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers 202203, University of California at Riverside, Department of Economics.
  8. Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
  9. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
  10. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
  11. A. Monta~n'es & E. Ruiz, 2026. "Interpreting (and testing) factor loadings," Papers 2607.12568, arXiv.org.
  12. Cen, Zetai & Lam, Clifford, 2025. "Tensor time series imputation through tensor factor modelling," Journal of Econometrics, Elsevier, vol. 249(PB).
  13. Yuan Liao & Xin Tong & Wanjie Wang & Dacheng Xiu, 2026. "Fixed-order PCA: Theory for Overestimated Factor Models," Papers 2605.18448, arXiv.org, revised Jul 2026.
  14. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
  15. Shilong Xi & Xiaohui Wang & Kejun Lin, 2025. "The Impact of Carbon Emissions Trading Pilot Policies on High-Quality Agricultural Development: An Empirical Assessment Using Double Machine Learning," Sustainability, MDPI, vol. 17(5), pages 1-28, February.
  16. Hounyo, Ulrich & Li, Zhendong, 2026. "Forecasting economic time series in the presence of weak factors: Multiple supervised learning-based approach," International Journal of Forecasting, Elsevier, vol. 42(2), pages 414-433.
  17. Songnian Chen & Junlong Feng, 2025. "Universal Factor Models," Papers 2501.15761, arXiv.org, revised Feb 2026.
  18. Matteo Barigozzi & Diego Fresoli & Esther Ruiz, 2026. "Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter," Papers 2601.04087, arXiv.org.
  19. Anna Bykhovskaya & Vadim Gorin & Sasha Sodin, 2025. "How weak are weak factors? Uniform inference for signal strength in signal plus noise models," Papers 2507.18554, arXiv.org, revised Feb 2026.
  20. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2026. "The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS 49336, Universidad Carlos III de Madrid. Departamento de Estadística.
  21. Paul Haimerl & Stephan Smeekes & Ines Wilms, 2025. "Estimation of Latent Group Structures in Time-Varying Panel Data Models," Papers 2503.23165, arXiv.org, revised Nov 2025.
  22. Sylvia Kaufmann & Markus Pape, 2023. "Bayesian (non-)unique sparse factor modelling," Working Papers 23.04, Swiss National Bank, Study Center Gerzensee.
  23. Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
  24. Christian Bayer & Luis Calderon & Moritz Kuhn, 2025. "Distributional Dynamics," ECONtribute Discussion Papers Series 351, University of Bonn and University of Cologne, Germany.
  25. Simon Freyaldenhoven, 2026. "Identification through sparsity in factor models: The ℓ1‐rotation criterion," Quantitative Economics, Econometric Society, vol. 17(2), pages 461-496, May.
  26. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
  27. Li, Yu-Ning & Chen, Jia & Linton, Oliver, 2026. "Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model," Journal of Econometrics, Elsevier, vol. 254(PA).
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