Large Dimensional Factor Analysis (Foundations and Trends (R) in Econometrics) - Softcover

Bai, Jushan; Ng, Serena

Softcover

ISBN 10: 1601981449 ISBN 13: 9781601981448

Publisher: now publishers Inc, 2008

Synopsis

Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit

Edition details

• Publisher: now publishers Inc
• Publication date: 2008
• Language: English
• ISBN 10: 1601981449
• ISBN 13: 9781601981448
• Binding: Paperback
• Number of pages: 92