Instrumental variable estimation of factor models with possibly many variables

DOI10.1080/03610918.2018.1423690OpenAlexW2612091898MaRDI QIDQ5085967

Qi Sun, Kazuhiko Hayakawa

Publication date: 30 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1423690

zbMATH Keywords

instrumental variablesfactor modelmany instrumentsheteroskedasticity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistics (62-XX)

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