Abstract
This article outlines and illustrates several types of common factor models that are found in the applied economics literature. These factor models include those based on principal components, classical factor analysis, dynamic factor analysis and common features, and the discussion addresses the identification and estimation of factors, as well as the use of common factor models.
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Anderson, H.M. (2018). Common Factors. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1931
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DOI: https://doi.org/10.1057/978-1-349-95189-5_1931
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