literature, which predominantly uses normal priors on the loadings. Simulations show that the sparse factor model can well detect …

(2002). Monte Carlo experiments are used to compare the performance of the two-stage approach to various system GMM … further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …

We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian … efficient simulation smoother, which relies on mean corrections for unconditional vectors. When applied to a factor model, the … proposed simulation smoother for the states is efficient compared to other state-space models without lagged states and …

exact geo-coordinates. In a recent paper Groß et al. (2017) have proposed a measurement error model which uses local … in the vicinity of boundaries. Here we propose a modification of the original algorithm which uses rescaled kernel …