Asymptotic Principal Components Estimation of Large Factor Models

Victor Solo and Chris Heaton

No 251, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: factor analysis; forecasting (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 2003-08-01
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Working Paper: ASYMPTOTIC PRINCIPAL COMPONENTS ESTIMATION OF LARGE FACTOR MODELS (2003)
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