We estimate the latent factors in high-dimensional panel non-Gaussian data using Higher-order multi-cumulant Factor Analysis (HFA). HFA consists of an eigenvalue ratio test to select the number of non-Gaussian factors and uses alternating regressions to estimate both Gaussian and non-Gaussian...

Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators and treat it as an important piece of economic information. We propose a latent factor model for the vector of monthly survey-based consumer confidence and daily sentiment embedded in...

Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators and treat it as an important piece of economic information. We propose a latent factor model for the vector of monthly survey-based consumer confidence and daily sentiment embedded in...