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Maximum likelihood estimation and inference for approximate factor models of high dimension

Bai, Jushan; Li, Kunpeng - In: The review of economics and statistics 98 (2016) 2, pp. 298-309

Persistent link: https://www.econbiz.de/10011477242

Dynamic spatial panel data models with common shocks

Bai, Jushan; Li, Kunpeng - In: Journal of econometrics 224 (2021) 1, pp. 134-160

Persistent link: https://www.econbiz.de/10013275367

Efficient estimation of approximate factor models via penalized maximum likelihood

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011594307

Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity

Ando, Tomohiro; Bai, Jushan; Li, Kunpeng - In: Journal of econometrics 230 (2022) 1, pp. 20-38

Persistent link: https://www.econbiz.de/10013441911

Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood

Bai, Jushan; Liao, Yuan - 2012

We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the factor loadings or common factors because it essentially...

Persistent link: https://www.econbiz.de/10014165297