Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions

DOI10.1016/j.jeconom.2020.11.002OpenAlexW2958099329WikidataQ114161726 ScholiaQ114161726MaRDI QIDQ2673202

Fa Wang

Publication date: 9 June 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.11.002

zbMATH Keywords

maximum likelihoodforecastingfactor modelhigh dimensionfactor-augmented regressionmixed measurement

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Binary response models for heterogeneous panel data with interactive fixed effects ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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