A Generalized Factor Model with Local Factors
A Generalized Factor Model with Local Factors
复制标题
具有局部因素的广义因素模型
DOI：
10.21799/frbp.wp.2019.23
复制
发表时间：
2019
期刊：
影响因子：
--
通讯作者：
S. Freyaldenhoven
中科院分区：
文献类型：
--
作者：
S. Freyaldenhoven
通过将“本地”因素纳入模型，我扩展了因素模型的理论。局部因素影响观测变量中的递减部分。这意味着协方差矩阵的特征值的连续体，正如在应用中经常观察到的那样。我推导了使用公共主成分估计器一致地估计局部因素的条件。此外，我还提出了一类新的因子个数估计量。与过去提出的估计器不同，我的估计器既使用特征向量中的信息，也使用特征值中的信息。蒙特卡罗证据表明，与现有估计值相比，有限样本的收益显著。从经验上讲，我在一大批美国宏观经济指标中找到了地方因素的证据。
I extend the theory on factor models by incorporating âlocalâ factors into the model. Local factors affect a decreasing fraction of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in applications. I derive conditions under which local factors will be estimated consistently using the common Principal Component Estimator. I further propose a novel class of estimators for the number of factors. Unlike estimators that have been proposed in the past, my estimators use information in the eigenvectors as well as in the eigenvalues. Monte Carlo evidence suggests significant finite sample gains over existing estimators. Empirically I find evidence of local factors in a large panel of US macroeconomic indicators.
影响因子：
2.8
作者：
Green, JC;Kivelson, MG
通讯作者：
Kivelson, MG