Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle
Year of publication: |
2014
|
---|---|
Authors: | Bada, Oualid ; Kneip, Alois |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 95-115
|
Publisher: |
Elsevier |
Subject: | Large panel data | Factor error structure | Factor model | Common stochastic trends | Model selection criteria | Credit spread puzzle |
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