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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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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
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Feasible generalized least squares for panel data with cross-sectional and serial correlations
Bai, Jushan; Choi, Sung Hoon; Liao, Yuan - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 309-326
Persistent link: https://www.econbiz.de/10012488925
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Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
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Standard errors for panel data models with unknown clusters
Bai, Jushan; Choi, Sung Hoon; Liao, Yuan - In: Journal of econometrics 240 (2024) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10015075111