Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:weak factors 

Working Paper
A Generalized Factor Model with Local Factors

I extend the theory on factor models by incorporating local factors into the model. Local factors only affect an unknown subset of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in applications. I derive which factors are pervasive enough to be economically important and which factors are pervasive enough to be estimable using the common principal component estimator. I then introduce a new class of estimators to determine the number of those relevant factors. Unlike existing estimators, my estimators use not only the ...
Working Papers , Paper 19-23

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C38 1 items

C52 1 items

C55 1 items

FILTER BY Keywords

PREVIOUS / NEXT