Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
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DOI: 10.1016/j.econlet.2018.12.012
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More about this item
Keywords
Factor analysis; Large dimensional panel; Latent factor; Macroeconomics and finance;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Statistics
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