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Testing for sparse idiosyncratic components in factor-augmented regression models - MaRDI portal

Testing for sparse idiosyncratic components in factor-augmented regression models

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Publication:6664624

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DOI10.1016/j.jeconom.2024.105845MaRDI QIDQ6664624

Jonas Striaukas, Jad Beyhum

Publication date: 16 January 2025

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

zbMATH Keywords

factor models high-dimensional inference LASSO sparse plus dense

Mathematics Subject Classification ID

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

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