Identification Through Sparsity in Factor Models
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DOI: 10.21799/frbp.wp.2020.25
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More about this item
Keywords
identification; factor models; sparsity; local factors;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-07-27 (Econometrics)
- NEP-ORE-2020-07-27 (Operations Research)
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