THREE-DIMENSIONAL FACTOR MODELS WITH GLOBAL AND LOCAL FACTORS
研究了一个包含全局和局部因子的三维潜在因子模型，提出估计因子数量的方法，并基于主成分分析给出两步估计程序，蒙特卡洛模拟和国际贸易数据应用验证了其有效性。
This article considers a three-dimensional latent factor model in the presence of one set of global factors and two sets of local factors. We show that the numbers of global and local factors can be estimated uniformly and consistently. Given the number of global and local factors, we propose a two-step estimation procedure based on principal component analysis (PCA) and establish the asymptotic properties of the PCA estimators. Monte Carlo simulations demonstrate that they perform well in finite samples. An application to the dataset of international trade reveals the relative importance of different types of factors.