کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097585 1478584 2006 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Evaluating latent and observed factors in macroeconomics and finance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Evaluating latent and observed factors in macroeconomics and finance
چکیده انگلیسی
Common factors play an important role in many disciplines of social science. In economics, the factors are the common shocks that underlie the co-movements of the large number of economic time series. The question of interest is whether some observable economic variables are in fact the underlying unobserved factors. We consider statistics to determine if the observed and the latent factors are exactly the same. We also provide simple to construct statistics that indicate the extent to which the two sets of factors differ. The key to the analysis is that the space spanned by the latent factors can be consistently estimated when the sample size is large in both the cross-section and the time series dimensions. The tests are used to assess how well the so-called Fama and French factors as well as several business cycle indicators approximate the factors in portfolio and individual stock returns. Data from a large panel of macroeconomic are also analyzed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 131, Issues 1–2, March–April 2006, Pages 507-537
نویسندگان
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