LAUSR

About LAUSR
Donate
Contact Us

Follow us:

You are not signed in:

Sign Up!


   Articles with "generalized factor" as a keyword



Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions

Sign Up to like & get
recommendations! 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… read more here.

Keywords: maximum likelihood; factor models; factor augmented; factor ... See more keywords