지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Practitioners often standardize panel data before estimating a factor model. In this paper we show an example that the standardization leads to inconsistent estimation of the factor number. When the common component exhibits strong heteroskedasticity, the conventional eigenvalue-based decompositions are consistent but standardization does not necessarily result in consistent estimation. To overcome this issue, we recommend using a “minimum-rule” whereby the minimum factor-number estimated from both the conventional and standardized panel is used. Monte Carlo studies and an empirical application are provided.
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참고문헌 (16)
참고문헌 신청
Bai, J. / / Determining the number of factors in approximate factor models / Errata
Bai, J. / 2002 / Determining the number of factors in approximate factor models / Econometrica 70 : 191 ~ 221
Bai, J. / 2003 / Inferential theory for factor models of large dimensions / Econometrica 71 : 135 ~ 172
Bai, J. / 2006 / Evaluating latent and observed factors in macroeconomics and finance / Journal of Econometrics 113 : 507 ~ 537
Bai, J. / 2008 / Forecasting economic time series using targeted predictors / Journal of Econometrics 146 : 304 ~ 317
Bai, J. / 2002 / Determining the number of factors in approximate factor models / Econometrica 70 : 191 ~ 221
Bai, J. / 2003 / Inferential theory for factor models of large dimensions / Econometrica 71 : 135 ~ 172
Bai, J. / 2006 / Evaluating latent and observed factors in macroeconomics and finance / Journal of Econometrics 113 : 507 ~ 537
Bai, J. / 2008 / Forecasting economic time series using targeted predictors / Journal of Econometrics 146 : 304 ~ 317
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