Inferential Theory for Factor Models of
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Jushan Bai
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Article
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2003
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John Wiley and Sons
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English
โ 552 KB
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