Econometric Analysis of Large Factor Models

@inproceedings{Bai2016EconometricAO,
  title={Econometric Analysis of Large Factor Models},
  author={Jushan Bai and Peng Wang},
  year={2016}
}
Large factor models use a few latent factors to characterize the co-movement of economic variables in a high-dimensional data set. High dimensionality brings challenges as well as new insights into the advancement of econometric theory. Because of their ability to effectively summarize information in large data sets, factor models have been increasingly used in economics and finance. The factors, estimated from the high-dimensional data, can, for example, help improve forecasting, provide… CONTINUE READING

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