factor-model

Notes on “On factor models with random missing： EM estimation, inference, and cross validation”.

Table of Contents 1. Introduction 2. The three-pass regression filter 2.1. The estimator 2.2. Assumptions 2.3. Consistency 2.4. Asymptotic distributions 2.5. Proxy selection 3. Related procedures 3.1. Constrained least squares 3.

Table of Contents 0. Background 1. Introduction 2. Large dimensional factor models with random missing 2.1. EM estimation 3. Determining the number of factors via cross validation 4. Monte Carlo simulations 5.