A parametric estimation method for dynamic factor models of large dimensions
β Scribed by George Kapetanios; Massimiliano Marcellino
- Book ID
- 111040092
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 272 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper develops an inferential theory for factor models of large dimensions. The principal components estimator is considered because it is easy to compute and is asymptotically equivalent to the maximum likelihood estimator (if normality is assumed). We derive the rate of convergence and the li
## Abstract The significance level of a nonβparametric linkage (NPL) statistic is often found by simulation since the distribution of the test statistic is complex and unknown. Ideally, simulation occurs by randomly assigning founder genotypes and then simulating meiotic events for the descendants