Arbeitspapier
Sparse and Robust Factor Modelling
Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively few nonzero factor loadings. Compared to more traditional factor construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance, both in a Monte Carlo experiment and in two empirical applications to large data sets, one from macroeconomics and one from microeconomics.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 11-122/4
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Model Construction and Estimation
Forecasting Models; Simulation Methods
- Thema
-
dimension reduction
forecasting
outliers
regularization
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Croux, Christophe
Exterkate, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Croux, Christophe
- Exterkate, Peter
- Tinbergen Institute
Entstanden
- 2011
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