Economics at your fingertips  

Limit Theorems for Factor Models

Stanislav Anatolyev () and Anna Mikusheva

Papers from

Abstract: This paper establishes some asymptotic results such as central limit theorems and consistency of variance estimation in factor models. We consider a setting common to modern macroeconomic and financial models where many counties/regions/macro-variables/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous micro-parameters estimated separately for each entity. We establish a central limit theorem for quantities involving both cross-sectional and time series aggregation, as well as for quadratic forms in time-aggregated errors. We also study sufficient conditions when one can consistently estimate the asymptotic variance. These results are useful for making inferences in two-step estimation procedures related to factor models. We avoid structural modeling of cross-sectional dependence but impose time-series independence.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018-07
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2019-03-31
Handle: RePEc:arx:papers:1807.06338