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Search: subject:"Unknown factors"
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High dimensionality
5
unknown factors
4
Unknown factors
3
cross-sectional correlation
3
principal components
3
sparse matrix
3
thresholding
3
Conditional sparsity
2
Correlation
2
Cross-sectional correlation
2
Estimation theory
2
Factor analysis
2
Faktorenanalyse
2
Heteroscedasticity
2
Heteroskedasticity
2
Heteroskedastizität
2
Korrelation
2
Panel
2
Panel study
2
Schätztheorie
2
Thresholding
2
approximate factor model
2
Adaptive LASSO
1
Analysis of variance
1
CCE estimation
1
Conditional sparse
1
Estimation
1
Factor-augmented panel regression
1
Induktive Statistik
1
Interactive effects
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Optimal weight matrix
1
Penalized maximum likelihood
1
Principal components
1
Regression analysis
1
Regressionsanalyse
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SCAD
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English
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Liao, Yuan
5
Bai, Jushan
3
Fan, Jianqing
2
Choi, Sung Hoon
1
Mincheva, Martina
1
Shi, Xiaofeng
1
Westerlund, Joakim
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
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MPRA Paper
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Journal of econometrics
2
The econometrics journal
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ECONIS (ZBW)
4
RePEc
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1
Feasible weighted projected principal component analysis for semi-parametric factor models
Choi, Sung Hoon
- In:
The econometrics journal
26
(
2023
)
2
,
pp. 215-234
Persistent link: https://www.econbiz.de/10014319342
Saved in:
2
CCE in panels with general
unknown
factors
Westerlund, Joakim
- In:
The econometrics journal
21
(
2018
)
3
,
pp. 264-276
Persistent link: https://www.econbiz.de/10012166628
Saved in:
3
Risks of large portfolios
Fan, Jianqing
;
Liao, Yuan
;
Shi, Xiaofeng
-
Volkswirtschaftliche Fakultät, …
-
2013
estimates of the volatility matrix: sample covariance, approximate factor model with known factors, and
unknown
factors
(POET …
Persistent link: https://www.econbiz.de/10011112630
Saved in:
4
Efficient Estimation of Approximate Factor Models
Bai, Jushan
;
Liao, Yuan
-
Volkswirtschaftliche Fakultät, …
-
2012
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the factor loadings or common factors because it essentially...
Persistent link: https://www.econbiz.de/10011112633
Saved in:
5
Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan
;
Liao, Yuan
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
Saved in:
6
Large covariance estimation by thresholding principal orthogonal complements
Fan, Jianqing
;
Liao, Yuan
;
Mincheva, Martina
-
Volkswirtschaftliche Fakultät, …
-
2011
studied under various norms, including the spectral norm. It is shown that the impact of estimating the
unknown
factors
…
Persistent link: https://www.econbiz.de/10011112962
Saved in:
7
Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan
;
Liao, Yuan
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
Saved in:
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