Accurate Subsampling Intervals of Principal Components Factors

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dc.contributor.author Vicente Maldonado, Javier de
dc.contributor.author Ruiz Ortega, Esther
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2017-12-18T14:28:35Z
dc.date.available 2017-12-18T14:28:35Z
dc.date.issued 2017-12
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/23974
dc.description.abstract In the context of Dynamic Factor Models (DFMs), one of the most popular procedures for factor extraction is Principal Components (PC). Measuring the uncertainty associated to PC factor estimates should be part of interpreting them. However, the asymptotic distribution of PC factors could not be an appropriate approximation to the finite sample distribution for the sample sizes and cross-sectional dimensions usually encountered in practice. The main problem is that parameter uncertainty is not taken into account. We show that several bootstrap procedures proposed in the context of DFM with goals related to inference are not appropriate to measure the uncertainty of PC factor estimates. In this paper, we propose an asymptotically valid subsampling procedure designed with this purpose. The finite sample properties of the proposed procedure are analyzed and compared with those of the asymptotic and alternative extant bootstrap procedures. The results are empirically illustrated obtaining confidence intervals of the underlying factor in a system of Spanish macroeconomic variables.
dc.description.sponsorship Both authors acknowledge financial support from the Spanish Ministry of Education and Science, research project ECO2015-70331-C2-2-R.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 16-14
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Bootstrap
dc.subject.other Dynamic Factor Models
dc.subject.other Parameter uncertainty
dc.subject.other Resampling Procedures
dc.subject.other Unobserved Components
dc.title Accurate Subsampling Intervals of Principal Components Factors
dc.type workingPaper
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2015-70331-C2-2-R
dc.type.version draft
dc.identifier.uxxi DT/0000001498
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