LIMIT THEOREMS FOR FACTOR MODELS
© The Author(s), 2020. Published by Cambridge University Press. This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a glo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
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Cambridge University Press (CUP)
2021
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| Online Access: | https://hdl.handle.net/1721.1/135682 |
| _version_ | 1811089383965589504 |
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| author | Anatolyev, Stanislav Mikusheva, Anna |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Anatolyev, Stanislav Mikusheva, Anna |
| author_sort | Anatolyev, Stanislav |
| collection | MIT |
| description | © The Author(s), 2020. Published by Cambridge University Press. This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous microparameters estimated separately for each entity. The CLT applies for quantities involving both cross-sectional and time series aggregation, as well as for quadratic forms in time-aggregated errors. This paper studies the conditions when one can consistently estimate the asymptotic variance, and proposes a bootstrap scheme for cases when one cannot. A small simulation study illustrates performance of the asymptotic and bootstrap procedures. The results are useful for making inferences in two-step estimation procedures related to factor models, as well as in other related contexts. Our treatment avoids structural modeling of cross-sectional dependence but imposes time-series independence. |
| first_indexed | 2024-09-23T14:18:19Z |
| format | Article |
| id | mit-1721.1/135682 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T14:18:19Z |
| publishDate | 2021 |
| publisher | Cambridge University Press (CUP) |
| record_format | dspace |
| spelling | mit-1721.1/1356822023-12-13T15:40:40Z LIMIT THEOREMS FOR FACTOR MODELS Anatolyev, Stanislav Mikusheva, Anna Massachusetts Institute of Technology. Department of Economics © The Author(s), 2020. Published by Cambridge University Press. This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous microparameters estimated separately for each entity. The CLT applies for quantities involving both cross-sectional and time series aggregation, as well as for quadratic forms in time-aggregated errors. This paper studies the conditions when one can consistently estimate the asymptotic variance, and proposes a bootstrap scheme for cases when one cannot. A small simulation study illustrates performance of the asymptotic and bootstrap procedures. The results are useful for making inferences in two-step estimation procedures related to factor models, as well as in other related contexts. Our treatment avoids structural modeling of cross-sectional dependence but imposes time-series independence. 2021-10-27T20:24:36Z 2021-10-27T20:24:36Z 2020 2021-04-02T17:16:19Z Article http://purl.org/eprint/type/JournalArticle https://hdl.handle.net/1721.1/135682 en 10.1017/S0266466620000468 Econometric Theory Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Cambridge University Press (CUP) MIT web domain |
| spellingShingle | Anatolyev, Stanislav Mikusheva, Anna LIMIT THEOREMS FOR FACTOR MODELS |
| title | LIMIT THEOREMS FOR FACTOR MODELS |
| title_full | LIMIT THEOREMS FOR FACTOR MODELS |
| title_fullStr | LIMIT THEOREMS FOR FACTOR MODELS |
| title_full_unstemmed | LIMIT THEOREMS FOR FACTOR MODELS |
| title_short | LIMIT THEOREMS FOR FACTOR MODELS |
| title_sort | limit theorems for factor models |
| url | https://hdl.handle.net/1721.1/135682 |
| work_keys_str_mv | AT anatolyevstanislav limittheoremsforfactormodels AT mikushevaanna limittheoremsforfactormodels |