Accurate Confidence Regions for Principal Components Factors*
针对动态因子模型中主成分提取因子的渐近置信区域覆盖率不足的问题，提出子抽样方法修正协方差矩阵，使修正后的置信区域覆盖率更接近名义水平，并用西班牙宏观经济数据验证。
Abstract In dynamic factor models, factors are often extracted using principal components with their asymptotic confidence regions having empirical coverages below the nominal ones when the temporal dimension is small. We propose a subsampling procedure to compute the factor loadings uncertainty and correct the asymptotic covariance matrix of the extracted factors. We show that the empirical coverages of the modified confidence regions are closer to the nominal ones than those of asymptotic regions and asymptotically valid bootstrap regions. The results are empirically illustrated obtaining confidence intervals of the underlying factor in a system of Spanish macroeconomic variables.