Investigating finite sample properties of estimators for approximate factor models when N is small

Shinya Tanaka and Eiji Kurozumi ()

Economics Letters, 2012, vol. 116, issue 3, 465-468

Abstract: We examine finite sample properties of estimators for approximate factor models when N is small. Contrary to the “rule-of-thumb”, we find that the principal component analysis estimator and the quasi-maximum likelihood estimator perform well even when N is small.

Keywords: Approximate factor model; Principal components; Quasi-maximum likelihood (search for similar items in EconPapers)
JEL-codes: C13 C15 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:465-468

DOI: 10.1016/j.econlet.2012.04.044

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