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Estimation of Weak Factor Models

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  • Yoshimasa Uematsu
  • Takashi Yamagatay

Abstract

This paper investigates estimation of sparsity-induced weak factor (sWF) models, with large cross-sectional and time-series dimensions (N and T, respectively). It assumes that the kth largest eigenvalue of data covariance matrix grows proportionally to N ??k with unknown exponents 0

Suggested Citation

  • Yoshimasa Uematsu & Takashi Yamagatay, 2020. "Estimation of Weak Factor Models," DSSR Discussion Papers 108, Graduate School of Economics and Management, Tohoku University.
    • Handle: RePEc:toh:dssraa:108
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    File URL: http://hdl.handle.net/10097/00127278
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    Cited by:

    1. Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Monash Econometrics and Business Statistics Working Papers 23/21, Monash University, Department of Econometrics and Business Statistics.
    2. Choi, In & Lin, Rui & Shin, Yongcheol, 2023. "Canonical correlation-based model selection for the multilevel factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 22-44.
    3. Freyaldenhoven, Simon, 2022. "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
    4. Yoshimasa Uematsu & Takashi Yamagata, 2020. "Inference in Weak Factor Models," ISER Discussion Paper 1080, Institute of Social and Economic Research, Osaka University.

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