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Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.11.002
Abstract: Abstract This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for generalized factor models, with slightly stronger conditions on the relative magnitude of N (number of subjects) and T (number…
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Keywords:
maximum likelihood;
factor models;
factor augmented;
factor ... See more keywords