Shrinkage estimation of multiple threshold factor models
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Publication:6108331
DOI10.1016/j.jeconom.2023.02.002MaRDI QIDQ6108331
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
principal component analysisdimension reductioninformation criteriongroup Lassononlinear factor model
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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