Standardization and estimation of factor numbers for panel data
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Greenaway-McGrevy, R. | - |
dc.contributor.author | Han, C. | - |
dc.contributor.author | Sul, D. | - |
dc.date.accessioned | 2021-09-07T04:27:36Z | - |
dc.date.available | 2021-09-07T04:27:36Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2012 | - |
dc.identifier.issn | 1229-2893 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/110753 | - |
dc.description.abstract | Practitioners often standardize panel data before estimating a factor model. In this paper we show an example that the standardization leads to inconsistent estimation of the factor number. When the common component exhibits strong heteroskedasticity, the conventional eigenvalue-based decompositions are consistent but standardization does not necessarily result in consistent estimation. To overcome this issue, we recommend using a minimum-rule whereby the minimum factor-number estimated from both the conventional and standardized panel is used. Monte Carlo studies and an empirical application are provided. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.title | Standardization and estimation of factor numbers for panel data | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Han, C. | - |
dc.identifier.scopusid | 2-s2.0-84863463392 | - |
dc.identifier.bibliographicCitation | Journal of Economic Theory and Econometrics, v.23, no.2, pp.79 - 88 | - |
dc.relation.isPartOf | Journal of Economic Theory and Econometrics | - |
dc.citation.title | Journal of Economic Theory and Econometrics | - |
dc.citation.volume | 23 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 79 | - |
dc.citation.endPage | 88 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001672634 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Bai-Ng criteria | - |
dc.subject.keywordAuthor | Factor model | - |
dc.subject.keywordAuthor | Panel data | - |
dc.subject.keywordAuthor | Principal components estimator | - |
dc.subject.keywordAuthor | Selection criteria | - |
dc.subject.keywordAuthor | Standarization | - |
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