{"title":"通过稀疏性识别和解释因素模型中的因素:不同的方法","authors":"Thomas Despois, Catherine Doz","doi":"10.1002/jae.2967","DOIUrl":null,"url":null,"abstract":"<p>This paper considers different approaches for identifying the factor structure and interpreting the factors without imposing their interpretation via restrictions: sparse PCA and factor rotations. We establish a new consistency result for the factors estimated by sparse PCA. Monte Carlo simulations show that our methods accurately estimate the factor structure, even in small samples. We apply them to large datasets about international business cycles and the US economy. For each empirical application, they identify the same factor structure, offering a clear economic interpretation. These exploratory methods can in particular justify or complement approaches that impose the factor structure a priori.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3000,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2967","citationCount":"5","resultStr":"{\"title\":\"Identifying and interpreting the factors in factor models via sparsity: Different approaches\",\"authors\":\"Thomas Despois, Catherine Doz\",\"doi\":\"10.1002/jae.2967\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper considers different approaches for identifying the factor structure and interpreting the factors without imposing their interpretation via restrictions: sparse PCA and factor rotations. We establish a new consistency result for the factors estimated by sparse PCA. Monte Carlo simulations show that our methods accurately estimate the factor structure, even in small samples. We apply them to large datasets about international business cycles and the US economy. For each empirical application, they identify the same factor structure, offering a clear economic interpretation. These exploratory methods can in particular justify or complement approaches that impose the factor structure a priori.</p>\",\"PeriodicalId\":48363,\"journal\":{\"name\":\"Journal of Applied Econometrics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.3000,\"publicationDate\":\"2023-02-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2967\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Applied Econometrics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/jae.2967\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied Econometrics","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/jae.2967","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Identifying and interpreting the factors in factor models via sparsity: Different approaches
This paper considers different approaches for identifying the factor structure and interpreting the factors without imposing their interpretation via restrictions: sparse PCA and factor rotations. We establish a new consistency result for the factors estimated by sparse PCA. Monte Carlo simulations show that our methods accurately estimate the factor structure, even in small samples. We apply them to large datasets about international business cycles and the US economy. For each empirical application, they identify the same factor structure, offering a clear economic interpretation. These exploratory methods can in particular justify or complement approaches that impose the factor structure a priori.
期刊介绍:
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.