High dimensional factor analysis with weak factors
含弱因子的高维因子分析
This paper studies the principal components (PC) estimator for high dimensional approximate factor models with weak factors in that the factor loading ( Λ 0 ) scales sublinearly in the number N of cross-section units, i.e., Λ 0 ⊤ Λ 0 / N α is positive definite in the limit for some α ∈ ( 0 , 1 ) . While the consistency and asymptotic normality of these estimates are by now well known when the factors are strong, i.e., α = 1 , the statistical properties for weak factors…