Estimation of high-dimensional linear factor models with grouped variables
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DOI: 10.1016/j.jmva.2011.10.001
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Cited by:
- Ruey S. Tsay, 2016. "Some Methods for Analyzing Big Dependent Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 673-688, October.
- Matthew Harding & Carlos Lamarche & Chris Muris, 2022. "Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data," Papers 2203.03051, arXiv.org.
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Keywords
Factor analysis; Grouped variable approximate factor models; Instrumental variables; Time series;All these keywords.
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