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Dynamic factor models, cointegration, and error correction mechanisms

Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - 2016

of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …

Persistent link: https://www.econbiz.de/10011499818

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10011504536

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10011378359

Maximum likelihood estimation of time-varying loadings in high-dimensional factor models

Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - 2015

Persistent link: https://www.econbiz.de/10011409357

Nonlinear factor models for network and panel data

Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2019

. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …

Persistent link: https://www.econbiz.de/10011997314

When factors do not span their basis portfolios

Grinblatt, Mark; Saxena, Konark - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2335-2354

Persistent link: https://www.econbiz.de/10012128025

Nearest comoment estimation with unobserved factors

Boudt, Kris; Cornilly, Dries; Verdonck, Tim - 2019

Persistent link: https://www.econbiz.de/10012026474

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - In: Journal of econometrics 206 (2018) 2, pp. 613-644

Persistent link: https://www.econbiz.de/10012110420

A combined approach to the inference of conditional factor models

Li, Yan; Su, Liangjun; Xu, Yuewu - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 203-220

Persistent link: https://www.econbiz.de/10011390015

Bayesian analysis of static and dynamic factor models : an ex-post approach towards the rotation problem

Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - In: Journal of econometrics 192 (2016) 1, pp. 190-206

Persistent link: https://www.econbiz.de/10011617144