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Title: Limited information estimators
Keywords: limited information estimator, two-stage least square estimator, heteroskedasticity, factor analysis model
Issue Date: 15-Dec-2003
Citation: JIA JIAOYANG (2003-12-15). Limited information estimators. ScholarBank@NUS Repository.
Abstract: In this thesis, we examine several versions of the heteroskedasticity-consistent covariance matrix estimators for the factor analysis model. These estimators are extensions of Hinkley (1977), White (1980), Shao and Wu (1987) and Cribari-Neto (2000) that were proposed for the ordinary least squares estimators in the classical linear regression model. We consider the two-stage least squares estimation method and present versions of these heteroskedasticity-consistent covariance matrix estimators for the factor loadings in the factor analysis model. A simulation study was conducted to assess and compare these variance estimators, under different factor and error distributions.
Appears in Collections:Master's Theses (Open)

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