{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,15]],"date-time":"2026-08-15T19:09:15Z","timestamp":1786820955859,"version":"build-2736575974"},"reference-count":33,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2011,8,2]],"date-time":"2011-08-02T00:00:00Z","timestamp":1312243200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2012,4]]},"abstract":"<jats:p>This paper considers the factor model <jats:italic>X<jats:sub>t<\/jats:sub><\/jats:italic> = \u039b<jats:italic>F<jats:sub>t<\/jats:sub><\/jats:italic> + <jats:italic>e<jats:sub>t<\/jats:sub><\/jats:italic>. Assuming a normal distribution for the idiosyncratic error <jats:italic>e<jats:sub>t<\/jats:sub><\/jats:italic> conditional on the factors {<jats:italic>F<jats:sub>t<\/jats:sub><\/jats:italic>}, conditional maximum likelihood estimators of the factor and factor-loading spaces are derived. These estimators are called generalized principal component estimators (GPCEs) without the normality assumption. This paper derives asymptotic distributions of the GPCEs of the factor and factor-loading spaces. It is shown that variance of the GPCE of the common component is smaller than that of the principal component estimator studied in Bai (2003, <jats:italic>Econometrica<\/jats:italic> 71, 135\u2013172). The approximate variance of the forecasting error using the GPCE-based factor estimates is derived and shown to be smaller than that based on the principal component estimator. The feasible GPCE (FGPCE) of the factor space is shown to be asymptotically equivalent to the GPCE. The GPCE and FGPCE are shown to be more efficient than the principal component estimator in finite samples.<\/jats:p>","DOI":"10.1017\/s0266466611000338","type":"journal-article","created":{"date-parts":[[2011,8,2]],"date-time":"2011-08-02T10:52:10Z","timestamp":1312282330000},"page":"274-308","source":"Crossref","is-referenced-by-count":65,"title":["EFFICIENT ESTIMATION OF FACTOR MODELS"],"prefix":"10.1017","volume":"28","author":[{"given":"In","family":"Choi","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2011,8,2]]},"reference":[{"key":"S0266466611000338_ref6","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990727"},{"key":"S0266466611000338_ref3","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"S0266466611000338_ref1","doi-asserted-by":"publisher","DOI":"10.1002\/for.957"},{"key":"S0266466611000338_ref14","doi-asserted-by":"publisher","DOI":"10.1093\/0198774036.001.0001"},{"key":"S0266466611000338_ref2","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"S0266466611000338_ref21","doi-asserted-by":"crossref","unstructured":"Kapetanios G. & Marcellino M. (2006) A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions. Mimeo, Queen Mary, University of London.","DOI":"10.2139\/ssrn.893123"},{"key":"S0266466611000338_ref15","doi-asserted-by":"publisher","DOI":"10.1002\/jae.815"},{"key":"S0266466611000338_ref5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00696.x"},{"key":"S0266466611000338_ref12","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"S0266466611000338_ref19","unstructured":"Huang H. , Lee T.-H. , & Li C. (2006) Forecasting Output Growth and Inflation: How to Use Information in the Yield Curve. Mimeo, University of California, Riverside."},{"key":"S0266466611000338_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00079-4"},{"key":"S0266466611000338_ref7","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316894"},{"key":"S0266466611000338_ref8","first-page":"387","article-title":"Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach","volume":"120","author":"Bernanke","year":"2005","journal-title":"Quarterly Journal of Economics"},{"key":"S0266466611000338_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.027"},{"key":"S0266466611000338_ref10","unstructured":"Breitung J. & Tenhofen J. (2007) GLS Estimation of Dynamic Factor Models. Mimeo, University of Bonn."},{"key":"S0266466611000338_ref11","volume-title":"Time Series. Data Analysis and Theory","author":"Brillinger","year":"1981"},{"key":"S0266466611000338_ref17","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00079-5"},{"key":"S0266466611000338_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90027-9"},{"key":"S0266466611000338_ref16","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"S0266466611000338_ref18","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"S0266466611000338_ref24","volume-title":"Matrix Differential Calculus","author":"Magnus","year":"1988"},{"key":"S0266466611000338_ref22","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177698505"},{"key":"S0266466611000338_ref23","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.12.002"},{"key":"S0266466611000338_ref25","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.020"},{"key":"S0266466611000338_ref26","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S0266466611000338_ref4","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00528.x"},{"key":"S0266466611000338_ref27","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00108"},{"key":"S0266466611000338_ref28","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(99)00027-6"},{"key":"S0266466611000338_ref30","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"S0266466611000338_ref31","unstructured":"Stock J.H. & Watson M.W. (2005) Implications of Dynamic Factor Model for VAR Analysis. NBER Working paper no. W11467."},{"key":"S0266466611000338_ref32","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0706(05)01010-4"},{"key":"S0266466611000338_ref33","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177698779"},{"key":"S0266466611000338_ref29","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466611000338","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,25]],"date-time":"2019-04-25T23:08:05Z","timestamp":1556233685000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466611000338\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,8,2]]},"references-count":33,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2012,4]]}},"alternative-id":["S0266466611000338"],"URL":"https:\/\/doi.org\/10.1017\/s0266466611000338","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,8,2]]}}}