| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5634 |
| DP5634 Lobbying and Agricultural Trade Policy in the United States | |
| Kishore Gawande | |
| 发表日期 | 2006-04-11 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and discuss its theoretical properties. In particular, we show that it is possible to estimate consistently the factor space. We also develop a consistent information criterion for the determination of the number of factors to be included in the model. Finally, we conduct a set of simulation experiments that show that our approach compares well with existing alternatives. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Principal components Subspace algorithms |
| URL | https://cepr.org/publications/dp5634 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534477 |
| 推荐引用方式 GB/T 7714 | Kishore Gawande. DP5634 Lobbying and Agricultural Trade Policy in the United States. 2006. |
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