Factor and Idiosyncratic Empirical Processes
因子成分与特异成分的经验过程
The distributions of the common and idiosyncratic components for an individual variable are important in forecasting and applications. However, they are not identified with low-dimensional observations. Using the recently developed theory for large dimensional approximate factor model for large panel data, the common and idiosyncratic components can be estimated consistently. Based on the estimated common and idiosyncratic components, we construct the empirical processes for…