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Determining the number of factors from empirical distribution of eigenvalues

Onatski, Alexei - In: The review of economics and statistics 92 (2010) 4, pp. 1004-1016

Persistent link: https://www.econbiz.de/10008746351

Asymptotic analysis of the squared estimation error in misspecified factor models

Onatski, Alexei - In: Journal of econometrics 186 (2015) 2, pp. 388-406

Persistent link: https://www.econbiz.de/10011349455

Asymptotics of the principal components estimator of large factor models with weakly influential factors

Onatski, Alexei - In: Journal of econometrics 168 (2012) 2, pp. 244-258

Persistent link: https://www.econbiz.de/10009612743

Determining the number of factors from empirical distribution of eigenvalues

Onatski, Alexei (contributor) - 2005

Persistent link: https://www.econbiz.de/10003244047

Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise

Onatski, Alexei - 2018 - This draft: August, 2007

Persistent link: https://www.econbiz.de/10012667616

Testing hypothesis about the number of factors in large factor models

Onatski, Alexei - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 5, pp. 1447-1479

Persistent link: https://www.econbiz.de/10003914912

Factor analysis of a large DSGE model

Onatski, Alexei; Ruge-Murcia, Francisco Javier - 2010

Persistent link: https://www.econbiz.de/10008737311

Factor Analysis of a Large DSGE Model

Onatski, Alexei - 2010

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

Persistent link: https://www.econbiz.de/10013135611

Spurious factor analysis

Onatski, Alexei; Wang, Chen - 2020

Persistent link: https://www.econbiz.de/10012793091