| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5731 |
| DP5731 Ranking Journals by Concentration of Author Affiliation: Thirty-Five Years of Finance Research | |
| Kristian Rydqvist; Dennis Lasser | |
| 发表日期 | 2006-06-23 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of the idiosyncratic components. It is shown that the effects of misspecification on the estimation of the common factors is negligible for large sample size (T) and the cross-sectional dimension (n). The estimator is feasible when n is large and easily implementable using the Kalman smoother and the EM algorithm as in traditional factor analysis. Simulation results illustrate what are the empirical conditions in which we can expect improvement with respect to simple principle components considered by Bai (2003), Bai and Ng (2002), Forni, Hallin, Lippi, and Reichlin (2000, 2005b), Stock and Watson (2002a,b). |
| 主题 | International Macroeconomics |
| 关键词 | Factor model Large cross-sections Quasi maximum likelihood |
| URL | https://cepr.org/publications/dp5731 |
| 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/534568 |
| 推荐引用方式 GB/T 7714 | Kristian Rydqvist,Dennis Lasser. DP5731 Ranking Journals by Concentration of Author Affiliation: Thirty-Five Years of Finance Research. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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