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Large dimensional factor analysis

Bai, Jushan; Ng, Serena - 2008

Persistent link: https://www.econbiz.de/10003754726

Are more data always better for factor analysis?

Boivin, Jean; Ng, Serena - In: Journal of econometrics 132 (2006) 1, pp. 169-194

Persistent link: https://www.econbiz.de/10003320258

Panel cointegration with global stochastic trends

Bai, Jushan; Kao, Chihwa; Ng, Serena - In: Journal of econometrics 149 (2009) 1, pp. 82-99

Persistent link: https://www.econbiz.de/10003833733

Determining the number of primitive shocks in factor models

Bai, Jushan; Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 52-60

Persistent link: https://www.econbiz.de/10003410155

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...