Principal components estimation and identification of static factors

This publication has 13 references indexed in Scilit:

• A hierarchical factor analysis of U.S. housing market dynamics
  The Econometrics Journal, 2011
• Relative Goods' Prices, Pure Inflation, and The Phillips Correlation
  American Economic Journal: Macroeconomics, 2010
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
  Econometric Theory, 2010
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
  Econometric Theory, 2009
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
  Econometrica, 2006
• Identification of causal factor models of stationary time series
  The Econometrics Journal, 2004
• Inferential Theory for Factor Models of Large Dimensions
  Econometrica, 2003
• Forecasting Using Principal Components From a Large Number of Predictors
  Journal of the American Statistical Association, 2002
• Determining the Number of Factors in Approximate Factor Models
  Econometrica, 2002
• Computational algorithms for the factor model
  Communications in Statistics - Simulation and Computation, 1986