Inference in Weak Factor Models
نویسندگان
چکیده
منابع مشابه
Simultaneous Statistical Inference in Dynamic Factor Models
Based on the theory of multiple statistical hypotheses testing, we elaborate likelihood-based simultaneous statistical inference methods in dynamic factor models (DFMs). To this end, we work up and extend the methodology of Geweke and Singleton (1981) by proving a multivariate central limit theorem for empirical Fourier transforms of the observable time series. In an asymptotic regime with obse...
متن کاملEstimating Stable Factor Models By Indirect Inference
Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under the assumption of time constant distribution (static factor models) or time-varying conditional distribu...
متن کاملStatistical Inference in Autoregressive Models with Non-negative Residuals
Normal residual is one of the usual assumptions of autoregressive models but in practice sometimes we are faced with non-negative residuals case. In this paper we consider some autoregressive models with non-negative residuals as competing models and we have derived the maximum likelihood estimators of parameters based on the modified approach and EM algorithm for the competing models. Also,...
متن کاملInference with Weak Instruments
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests (and confidence intervals derived from tests) than estimators. The paper also presents new testing results under “many weak IV asymptotics,” which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptoti...
متن کاملA Combined Approach to the Inference of Conditional Factor Models
This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new te...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3556275