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State-varying factor models of large dimensions
Pelger, Markus; Xiong, Ruoxuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1315-1333
Persistent link: https://www.econbiz.de/10013539523
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Interpretable sparse proximate factors for large dimensions
Pelger, Markus; Xiong, Ruoxuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1642-1664
Persistent link: https://www.econbiz.de/10013540407