Book chapter
Recent Developments in Factor Models and Applications in Econometric Learning
Annual Review of Financial Economics. Volume 13, pp.401-430
Annual Review of Financial Economics, Annual Reviews
01/01/2021
DOI: 10.1146/annurev-financial-091420-011735
Abstract
This article provides a selective overview of the recent developments in factor models and their applications in econometric learning. We focus on the perspective of the low-rank structure of factor models and particularly draw attention to estimating the model from the low-rank recovery point of view. Our survey mainly consists of three parts. The first part is a review of new factor estimations based on modern techniques for recovering low-rank structures of high-dimensional models. The second part discusses statistical inferences of several factor-augmented models and their applications in statistical learning models. The final part summarizes new developments dealing with unbalanced panels from the matrix completion perspective.
Details
- Title: Subtitle
- Recent Developments in Factor Models and Applications in Econometric Learning
- Creators
- Jianqing Fan - Princeton UniversityKunpeng Li - Capital University of Economics and BusinessYuan Liao - Rutgers, The State University of New Jersey
- Contributors
- A W Lo (Editor)R C Merton (Editor)
- Resource Type
- Book chapter
- Publication Details
- Annual Review of Financial Economics. Volume 13, pp.401-430
- Series
- Annual Review of Financial Economics
- DOI
- 10.1146/annurev-financial-091420-011735
- eISSN
- 1941-1375
- ISSN
- 1941-1367
- Publisher
- Annual Reviews; PALO ALTO
- Number of pages
- 30
- Grant note
- 71991470; 71991471; 71722011 / National Natural Science Foundation of China (NNSFC); National Natural Science Foundation of China (NSFC)
- Language
- English
- Date published
- 01/01/2021
- Academic Unit
- Economics
- Record Identifier
- 9984936841102771
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