Maximum Likelihood Estimation and Inference for High Dimensional Generalized Factor Models with Application to Factor-augmented Regressions

Maximum Likelihood Estimation and Inference for High Dimensional Generalized Factor Models with Application to Factor-augmented Regressions
Author: Fa Wang
Publisher:
Total Pages: 0
Release: 2021
Genre:
ISBN:

This paper reestablishes the main results in Bai (2003) and Bai and Ng(2006) for generalized factor models, with slightly stronger conditions on therelative magnitude of N(number of subjects) and T(number of time periods).Convergence rates of the estimated factor space and loading space and asymptotic normality of the estimated factors and loadings are established under mildconditions that allow for linear, Logit, Probit, Tobit, Poisson and some othersingle-index nonlinear models. The probability density/mass function is allowed to vary across subjects and time, thus mixed models are also allowed for.For factor-augmented regressions, this paper establishes the limit distributionsof the parameter estimates, the conditional mean, and the forecast when factorsestimated from nonlinear/mixed data are used as proxies for the true factors.

Large Dimensional Factor Analysis

Large Dimensional Factor Analysis
Author: Jushan Bai
Publisher: Now Publishers Inc
Total Pages: 90
Release: 2008
Genre: Business & Economics
ISBN: 1601981449

Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.

Maximum Likelihood Estimation and Inference

Maximum Likelihood Estimation and Inference
Author: Russell B. Millar
Publisher: John Wiley & Sons
Total Pages: 286
Release: 2011-07-26
Genre: Mathematics
ISBN: 1119977711

This book takes a fresh look at the popular and well-established method of maximum likelihood for statistical estimation and inference. It begins with an intuitive introduction to the concepts and background of likelihood, and moves through to the latest developments in maximum likelihood methodology, including general latent variable models and new material for the practical implementation of integrated likelihood using the free ADMB software. Fundamental issues of statistical inference are also examined, with a presentation of some of the philosophical debates underlying the choice of statistical paradigm. Key features: Provides an accessible introduction to pragmatic maximum likelihood modelling. Covers more advanced topics, including general forms of latent variable models (including non-linear and non-normal mixed-effects and state-space models) and the use of maximum likelihood variants, such as estimating equations, conditional likelihood, restricted likelihood and integrated likelihood. Adopts a practical approach, with a focus on providing the relevant tools required by researchers and practitioners who collect and analyze real data. Presents numerous examples and case studies across a wide range of applications including medicine, biology and ecology. Features applications from a range of disciplines, with implementation in R, SAS and/or ADMB. Provides all program code and software extensions on a supporting website. Confines supporting theory to the final chapters to maintain a readable and pragmatic focus of the preceding chapters. This book is not just an accessible and practical text about maximum likelihood, it is a comprehensive guide to modern maximum likelihood estimation and inference. It will be of interest to readers of all levels, from novice to expert. It will be of great benefit to researchers, and to students of statistics from senior undergraduate to graduate level. For use as a course text, exercises are provided at the end of each chapter.

Maximum Likelihood Estimation

Maximum Likelihood Estimation
Author: Scott R. Eliason
Publisher: SAGE
Total Pages: 100
Release: 1993
Genre: Mathematics
ISBN: 9780803941076

This is a short introduction to Maximum Likelihood (ML) Estimation. It provides a general modeling framework that utilizes the tools of ML methods to outline a flexible modeling strategy that accommodates cases from the simplest linear models (such as the normal error regression model) to the most complex nonlinear models linking endogenous and exogenous variables with non-normal distributions. Using examples to illustrate the techniques of finding ML estimators and estimates, the author discusses what properties are desirable in an estimator, basic techniques for finding maximum likelihood solutions, the general form of the covariance matrix for ML estimates, the sampling distribution of ML estimators; the use of ML in the normal as well as other distributions, and some useful illustrations of likelihoods.

Handbook of Macroeconomics

Handbook of Macroeconomics
Author: John B. Taylor
Publisher: Elsevier
Total Pages: 1376
Release: 2016-12-01
Genre: Business & Economics
ISBN: 0444594787

Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade

Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data

Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data
Author: Borus Jungbacker
Publisher:
Total Pages: 20
Release: 2011
Genre:
ISBN:

This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present. The implementation details of our methods for signal extraction and maximum likelihood estimation are discussed. The computational gains of the new devices are presented based on simulated data sets with varying numbers of missing entries.

The New Palgrave Dictionary of Economics

The New Palgrave Dictionary of Economics
Author:
Publisher: Springer
Total Pages: 7493
Release: 2016-05-18
Genre: Law
ISBN: 1349588024

The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.