Limit theorems for factor models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F21%3A00546318" target="_blank" >RIV/00216208:11640/21:00546318 - isvavai.cz</a>
Alternative codes found
RIV/67985998:_____/21:00553111
Result on the web
<a href="https://doi.org/10.1017/S0266466620000468" target="_blank" >https://doi.org/10.1017/S0266466620000468</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1017/S0266466620000468" target="_blank" >10.1017/S0266466620000468</a>
Alternative languages
Result language
angličtina
Original language name
Limit theorems for factor models
Original language description
This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous microparameters estimated separately for each entity. The CLT applies for quantities involving both cross-sectional and time series aggregation, as well as for quadratic forms in time-aggregated errors. This paper studies the conditions when one can consistently estimate the asymptotic variance, and proposes a bootstrap scheme for cases when one cannot. A small simulation study illustrates performance of the asymptotic and bootstrap procedures. The results are useful for making inferences in two-step estimation procedures related to factor models, as well as in other related contexts. Our treatment avoids structural modeling of cross-sectional dependence but imposes time-series independence.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Econometric Theory
ISSN
0266-4666
e-ISSN
1469-4360
Volume of the periodical
37
Issue of the periodical within the volume
5
Country of publishing house
US - UNITED STATES
Number of pages
41
Pages from-to
1034-1074
UT code for WoS article
000721237700008
EID of the result in the Scopus database
2-s2.0-85096290469