2 papers
econ.EM2026
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter
Matteo Barigozzi, Diego Fresoli, Esther Ruiz
Factor extraction from systems of variables with a large cross-sectional dimension, , is often based on either Principal Components (PC)-based procedures, or Kalman filter (KF)-…
econ.EM2024
Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors
Diego Fresoli, Pilar Poncela, Esther Ruiz
In this paper, we propose a computationally simple estimator of the asymptotic covariance matrix of the Principal Components (PC) factors valid in the presence of cross-correlated…