Shrinkage estimation of high-dimensional factor models with structural instabilities
Xu Cheng, Zhipeng Liao and Frank Schorfheide
| Year of publication: |
October 2016
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|---|---|
| Authors: | Cheng, Xu ; Liao, Zhipeng ; Schorfheide, Frank |
| Published in: |
The review of economic studies. - Oxford : Oxford Univ. Press, ISSN 0034-6527, ZDB-ID 209928-7. - Vol. 83.2016, 4, p. 1511-1543
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| Subject: | Great Recession | High-dimensional model | Large data sets | LASSO | Latent factor model | Model selection | Shrinkage estimation | Structural break | Schätzung | Estimation | Strukturbruch | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Wirtschaftskrise | Economic crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/restud/rdw005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656547