کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146267 957501 2012 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation of high-dimensional linear factor models with grouped variables
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Estimation of high-dimensional linear factor models with grouped variables
چکیده انگلیسی

We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variables that belong to the same group, and for weak correlation between the disturbances of variables that belong to different groups. We call this model the Grouped Variable Approximate Factor Model. We establish identification, propose an estimation approach based on instrumental variable conditions that hold in the limit, and prove consistency in a dual limit framework. Monte Carlo simulations are used to investigate the performance of the estimator, and the techniques are applied to an analysis of industrial output in the US.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 105, Issue 1, February 2012, Pages 348–367
نویسندگان
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