论文标题
关于因素模型及其在计量经济学学习中的应用的最新发展
Recent Developments on Factor Models and its Applications in Econometric Learning
论文作者
论文摘要
本文对因子模型的最新发展及其在统计学习中的应用进行了选择性调查。我们专注于因子模型的低排列结构的观点，尤其是从低级别恢复的角度估算模型的关注。该调查主要由三个部分组成：第一部分是基于现代技术恢复高维模型的低级结构的新因素估计的综述。第二部分讨论了计量经济学学习模型中几种因子增强模型和应用的统计推断。最后一部分总结了从矩阵完成的角度来处理不平衡面板的新开发项目。
This paper makes a selective survey on the recent development of the factor model and its application on statistical learnings. We focus on the perspective of the low-rank structure of factor models, and particularly draws attentions to estimating the model from the low-rank recovery point of view. The survey mainly consists of three parts: the first part is a review on new factor estimations based on modern techniques on recovering low-rank structures of high-dimensional models. The second part discusses statistical inferences of several factor-augmented models and applications in econometric learning models. The final part summarizes new developments dealing with unbalanced panels from the matrix completion perspective.
