[Statlist] New title of next talk: Friday, March 08, 2013 with Alexei Onatski, University of Cambridge

[Cecilia Rey]

Please note the new title of the recently announced talk with Alexei Onatski, University of Cambridge:

Asymptotic Analysis of the Squared Estimation Error in Misspecifi
ed Factor Models
*******************************************************************************************************************

> Organisers:
> Proffs. P. Bühlmann - L. Held - H.R. Kuensch - M. Maathuis - S. van de Geer - M. Wolf 
> 
> *************************************************************************************
> 
> We are glad to announce the following talk
> 
> Friday, March 08, 2013 -  15.15h  ETH Zurich HG G 19.1
> with Alexei Onatski, University of Cambridge)
> *************************************************************
> 
> 
> Title:
> Prediction Loss in Misspecified Factor Models
> 
> Abstract:
> In this paper, we obtain asymptotic approximations to the mean squared error of the least squares estimator of the common component in large approximate factor models with possibly misspecified number of factors. The approximations are derived under both strong and weak factors asymptotics assuming that the cross-sectional and temporal dimensions of the data are comparable. We develop consistent estimators of these approximations and propose to use them as new criteria for selection of the number of factors. We show that the estimators of the  number of factors that minimize these criteria are asymptotically loss efficient in the sense of Shibata (1980), Li (1987), and Shao (1997).
> 
> *******************************************************************************************************
> This abstract is also to be found under the following link: http://stat.ethz.ch/talks/research_seminar
> 
> *******************************************************************************************************
> 
> Statlist mailing list
> Statlist using stat.ch
> https://stat.ethz.ch/mailman/listinfo/statlist
> *****************************************************
>