This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …

dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic …