Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices
Year of publication: |
2024
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Authors: | Horie, Tetsushi ; Yamamoto, Yohei |
Published in: |
Journal of econometric methods. - Berlin : de Gruyter, ISSN 2156-6674, ZDB-ID 2684112-5. - Vol. 13.2024, 1, p. 1-27
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Subject: | date-stamping | explosive behaviors | large dimensional factor model | state-level house price index | USA | United States | Schätzung | Estimation | Immobilienpreis | Real estate price | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
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