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1 août 2020
- 2008.00254
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Work, Method of Industry (Psychology) Method of work Matrix algebra Algebra, Matrix Matrixes (Algebra) Cracovians (Mathematics) Estimates and costCiter ce document
Jushan Bai et al., « Simpler Proofs for Approximate Factor Models of Large Dimensions », arXiv - économie
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Résumé
Estimates of the approximate factor model are increasingly used in empirical work. Their theoretical properties, studied some twenty years ago, also laid the ground work for analysis on large dimensional panel data models with cross-section dependence. This paper presents simplified proofs for the estimates by using alternative rotation matrices, exploiting properties of low rank matrices, as well as the singular value decomposition of the data in addition to its covariance structure. These simplifications facilitate interpretation of results and provide a more friendly introduction to researchers new to the field. New results are provided to allow linear restrictions to be imposed on factor models.