A QUASI—MAXIMUM LIKELIHOOD APPROACH FOR LARGE, APPROXIMATE DYNAMIC FACTOR MODELS

Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and the...

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Bibliographic Details
Published in:The review of economics and statistics 2012-11, Vol.94 (4), p.1014-1024
Main Authors: Doz, Catherine, Giannone, Domenico, Reichlin, Lucrezia
Format: Article
Language:English
Subjects:
Consistent estimators
Covariance matrices
Cross-sectional analysis
Discriminant analysis
Dynamic models
Econometric factor models
Economic models
Economics and Finance
Estimators
Experimental methods
Factor analysis
Humanities and Social Sciences
Maximum likelihood estimation
Maximum likelihood estimators
Maximum likelihood method
Methods and statistics
Sample size
Studies
Time series
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