Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle

DOI10.1016/j.csda.2013.11.007zbMath1506.62017OpenAlexW2043662886MaRDI QIDQ1623512

Oualid Bada, Alois Kneip

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.11.007

zbMATH Keywords

model selection criteriafactor modelcommon stochastic trendscredit spread puzzlefactor error structurelarge panel data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• phtt

Cites Work

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