High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

DOI10.1016/j.jeconom.2015.03.024zbMath1337.62247arXiv1310.1990OpenAlexW2111818489MaRDI QIDQ82524

Bin Guo, Qiwei Yao, Jinyuan Chang, Jinyuan Chang, Bin Guo, Qiwei Yao

Publication date: December 2015

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

Full work available at URL: https://arxiv.org/abs/1310.1990

zbMATH Keywords

time seriesdimension reductionnonstationarity\(\alpha\)-mixinginstrument variables

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) Economic time series analysis (91B84)

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