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Cross-sectional averages versus principal components
Westerlund, Joakim; Urbain, Jean-Pierre - In: Journal of econometrics 185 (2015) 2, pp. 372-377
Persistent link: https://www.econbiz.de/10011349044
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Risks of large portfolios
Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng - In: Journal of econometrics 186 (2015) 2, pp. 367-387
Persistent link: https://www.econbiz.de/10011349458
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The three-pass regression filter : a new approach to forecasting using many predictors
Kelly, Bryan T.; Pruitt, Seth - In: Journal of econometrics 186 (2015) 2, pp. 294-316
Persistent link: https://www.econbiz.de/10011349476
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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Unexplained factors and their effects on second pass image-squared's
Kleibergen, Frank; Zhang, Zhaoguo - In: Journal of econometrics 189 (2015) 1, pp. 101-116
Persistent link: https://www.econbiz.de/10011502495
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Testing for factor loading structural change under common breaks
Yamamoto, Yohei; Tanaka, Shinya - In: Journal of econometrics 189 (2015) 1, pp. 187-206
Persistent link: https://www.econbiz.de/10011502515
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
Galbraith, John W.; Zinde-Walsh, Victoria - In: Journal of econometrics 218 (2020) 2, pp. 609-632
Persistent link: https://www.econbiz.de/10012483173
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A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel - In: Journal of econometrics 216 (2020) 1, pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
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A moment-based notion of time dependence for functional time series
Salish, Nazarii; Gleim, Alexander - In: Journal of econometrics 212 (2019) 2, pp. 377-392
Persistent link: https://www.econbiz.de/10012304025