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The asymptotic distributions of some estimators for a factor analysis model

Author

Listed:
  • Amemiya, Yasuo
  • Fuller, Wayne A.
  • Pantula, Sastry G.

Abstract

Under the errors-in-variables parameterization, the limiting behavior of the estimators of the parameters of the factor analysis model is investigated. An explicit expression is given for the covariance matrix of the limiting distribution of the estimators. It is demonstrated that the limiting distribution of the vector containing the estimated error variances and the estimated coefficients holds for a wide range of assumptions about the true factors.

Suggested Citation

  • Amemiya, Yasuo & Fuller, Wayne A. & Pantula, Sastry G., 1987. "The asymptotic distributions of some estimators for a factor analysis model," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 51-64, June.
    • Handle: RePEc:eee:jmvana:v:22:y:1987:i:1:p:51-64
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    Cited by:

    1. Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
    2. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
    3. Bai, Jushan & Li, Kunpeng, 2010. "Theory and methods of panel data models with interactive effects," MPRA Paper 43441, University Library of Munich, Germany, revised Dec 2012.
    4. Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
    5. Li, Yan & Gao, Zhigen & Huang, Wei & Guo, Jianhua, 2023. "Matrix-variate data analysis by two-way factor model with replicated observations," Statistics & Probability Letters, Elsevier, vol. 202(C).
    6. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
    7. Chunjie Wang & Bo Zhao & Linlin Luo & Xinyuan Song, 2021. "Regression analysis of current status data with latent variables," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 27(3), pages 413-436, July.
    8. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    9. Jushan Bai & Kunpeng Li, 2016. "Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension," The Review of Economics and Statistics, MIT Press, vol. 98(2), pages 298-309, May.

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