Invariant Inference and Efficient Computation in the Static Factor Model-Reference-Cited by-同舟云学术

Invariant Inference and Efficient Computation in the Static Factor Model

Published:2018-04-03 Issue:522 Volume:113 Page:819-828
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Chan Joshua¹,Leon-Gonzalez Roberto²³,Strachan Rodney W.³⁴⁵

Affiliation:

1. Centre for Applied Macroeconomic Analysis, University of Technology Sydney, Sydney, NSW, Australia

2. National Graduate Institute for Policy Studies, Tokyo, Japan

3. Rimini Center for Economic Analysis, Rimini, Italy

4. Centre for Applied Macroeconomic Analysis, Canberra, ACT, Australia

5. University of Queensland, Brisbane, Queensland, Australia

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2017.1287080

Reference35 articles.

1. Aßmann, C., Boysen-Hogrefe, J., and Pape, M. (2012), “The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach,” Working paper 2012-11, Department of Economics, Christian-Albrechts-Universität Kiel, Germany.

2. Bayesian Dynamic Factor Models and Portfolio Allocation

3. Differential-Geometrical Methods in Statistics

4. Determining the Number of Factors in Approximate Factor Models

5. Sparse Bayesian infinite factor models

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