Tests for group-specific heterogeneity in high-dimensional factor models
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DOI: 10.1016/j.jmva.2023.105233
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- Antoine Djogbenou & Razvan Sufana, 2021. "Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models," Papers 2109.09049, arXiv.org, revised Feb 2022.
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Keywords
Factor models; Group-specific heterogeneity; Permutation; Statistical test;All these keywords.
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