Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices

DOI10.1515/jem-2022-0017zbMath1541.62367MaRDI QIDQ6561134

Unnamed Author, Yohei Yamamoto

Publication date: 24 June 2024

Published in: Journal of Econometric Methods (Search for Journal in Brave)

zbMATH Keywords

date-stampingexplosive behaviorslarge dimensional factor modelstate-level house price index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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