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Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension

Citations

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Cited by:

  1. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
  2. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
  3. Shaoxin Wang & Hu Yang & Chaoli Yao, 2019. "On the penalized maximum likelihood estimation of high-dimensional approximate factor model," Computational Statistics, Springer, vol. 34(2), pages 819-846, June.
  4. Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
  5. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Janeway Institute Working Papers camjip:2214, Faculty of Economics, University of Cambridge.
  6. Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
  7. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
  8. Jin, Sainan & Miao, Ke & Su, Liangjun, 2021. "On factor models with random missing: EM estimation, inference, and cross validation," Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
  9. Wang, Fa, 2017. "Maximum likelihood estimation and inference for high dimensional nonlinear factor models with application to factor-augmented regressions," MPRA Paper 93484, University Library of Munich, Germany, revised 19 May 2019.
  10. Yi‐Chiuan Wang & Jyh‐Lin Wu, 2015. "Fundamentals and Exchange Rate Prediction Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1651-1671, December.
  11. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
  12. Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
  13. Matteo Luciani, 2020. "Common and Idiosyncratic Inflation," FEDS Notes 2020-03-05, Board of Governors of the Federal Reserve System (U.S.).
  14. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
  15. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
  16. Luke Hartigan & Michelle Wright, 2023. "Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia," The Economic Record, The Economic Society of Australia, vol. 99(325), pages 253-287, June.
  17. Matteo Barigozzi & Luca Trapin, 2025. "Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering," Papers 2502.04112, arXiv.org, revised Jan 2026.
  18. Hui, Yongchang & Shi, Mengjie & Wong, Wing-Keung & Zheng, Shurong, 2024. "Pragmatic attitude to large-scale Markowitz’s portfolio optimization and factor-augmented derating," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  19. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
  20. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
  21. Filipiak, Katarzyna & Klein, Daniel, 2017. "Estimation of parameters under a generalized growth curve model," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 73-86.
  22. Hörmann, Siegfried & Jammoul, Fatima, 2022. "Consistently recovering the signal from noisy functional data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  23. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
  24. repec:hum:wpaper:sfb649dp2014-004 is not listed on IDEAS
  25. Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics camjip:2214, Faculty of Economics, University of Cambridge.
  26. Giovanni Urga & Fa Wang, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," Papers 2205.12126, arXiv.org, revised Apr 2023.
  27. Luke Hartigan & Tom Rosewall, 2024. "Nowcasting Quarterly GDP Growth during the COVID-19 Crisis Using a Monthly Activity Indicator," Working Papers 2024-15, University of Sydney, School of Economics.
  28. Li, Kunpeng & Lu, Lina, 2014. "Efficient estimation of heterogeneous coefficients in panel data models with common shock," MPRA Paper 59312, University Library of Munich, Germany.
  29. Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
  30. Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021. "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1498-1508.
  31. Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
  32. Li, Kunpeng, 2017. "Fixed-effects dynamic spatial panel data models and impulse response analysis," Journal of Econometrics, Elsevier, vol. 198(1), pages 102-121.
  33. Franco Peracchi & Claudio Rossetti, 2022. "A nonlinear dynamic factor model of health and medical treatment," Health Economics, John Wiley & Sons, Ltd., vol. 31(6), pages 1046-1066, June.
  34. Wang, Peng & Wang, Xi, 2025. "Adjusted principal component estimation for binary factor model," MPRA Paper 123844, University Library of Munich, Germany.
  35. Miranda Gualdrón, Karen Alejandra & Poncela, Pilar & Ruiz Ortega, Esther, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de Estadística.
  36. Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
  37. Matteo Barigozzi, 2022. "Asymptotic Theory of Principal Component Analysis for High-Dimensional Time Series Data under a Factor Structure," Papers 2211.01921, arXiv.org, revised Nov 2025.
  38. Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
  39. Fresoli, Diego Eduardo & Poncela, Pilar & Ruiz Ortega, Esther, 2022. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 36251, Universidad Carlos III de Madrid. Departamento de Estadística.
  40. Joakim Westerlund, 2020. "A cross‐section average‐based principal components approach for fixed‐T panels," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 776-785, September.
  41. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
  42. Serena Ng & Susannah Scanlan, 2024. "Constructing high frequency economic indicators by imputation," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 1-30.
  43. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  44. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
  45. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
  46. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
  47. Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
  48. Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni, 2019. "Consistent estimation of time-varying loadings in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 208(2), pages 535-562.
  49. Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  50. Linton, Oliver B. & Tang, Haihan & Wu, Jianbin, 2025. "A large confirmatory dynamic factor model for stock market returns in different time zones," Journal of Econometrics, Elsevier, vol. 249(PB).
  51. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
  52. Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
  53. He, Yong & Li, Lingxiao & Liu, Dong & Zhou, Wen-Xin, 2025. "Huber Principal Component Analysis for large-dimensional factor models," Journal of Econometrics, Elsevier, vol. 249(PB).
  54. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
  55. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
  56. Brownlees, Christian & Mesters, Geert, 2021. "Detecting granular time series in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 544-561.
  57. Martin Solberger & Erik Spånberg, 2020. "Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 875-900, March.
  58. Monika Bours & Ansgar Steland, 2021. "Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 610-654, June.
  59. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
  60. Jushan Bai & Kunpeng Li & Lina Lu, 2016. "Estimation and Inference of FAVAR Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 620-641, October.
  61. Zhe Sun & Yundong Tu, 2024. "Factors in Fashion: Factor Analysis towards the Mode," Papers 2409.19287, arXiv.org.
  62. Wang, Fa, 2022. "Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions," Journal of Econometrics, Elsevier, vol. 229(1), pages 180-200.
  63. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
  64. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
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