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Factor Modelling for High-Dimensional Time Series: Inference and Model Selection

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  • Tata Subba Rao
  • Granville Tunnicliffe Wilson
  • Ngai Hang Chan
  • Ye Lu
  • Chun Yip Yau

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  • Tata Subba Rao & Granville Tunnicliffe Wilson & Ngai Hang Chan & Ye Lu & Chun Yip Yau, 2017. "Factor Modelling for High-Dimensional Time Series: Inference and Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 285-307, March.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307
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    References listed on IDEAS

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    1. Hansheng Wang & Bo Li & Chenlei Leng, 2009. "Shrinkage tuning parameter selection with a diverging number of parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 671-683, June.
    2. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    3. Forni, Mario & Lippi, Marco, 2001. "The Generalized Dynamic Factor Model: Representation Theory," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1113-1141, December.
    4. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    5. Koop, Gary & Korobilis, Dimitris, 2011. "UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?," Economic Modelling, Elsevier, vol. 28(5), pages 2307-2318, September.
    6. Connor, Gregory & Korajczyk, Robert A, 1993. "A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-1291, September.
    7. Stephen G. Donald, 1997. "Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship," Econometrica, Econometric Society, vol. 65(1), pages 103-132, January.
    8. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    9. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
    10. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
    11. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
    12. Yingying Fan & Cheng Yong Tang, 2013. "Tuning parameter selection in high dimensional penalized likelihood," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 531-552, June.
    13. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    14. Lam, Clifford & Yao, Qiwei, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.
    15. Clifford Lam & Qiwei Yao & Neil Bathia, 2011. "Estimation of latent factors for high-dimensional time series," Biometrika, Biometrika Trust, vol. 98(4), pages 901-918.
    16. Lam, Clifford & Yao, Qiwei & Bathia, Neil, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics 31549, London School of Economics and Political Science, LSE Library.
    17. Jushan Bai & Serena Ng, 2006. "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions," Econometrica, Econometric Society, vol. 74(4), pages 1133-1150, July.
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