Constrained principal components estimation of large approximate factor models
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More about this item
Keywords
High dimensionality; unknown factors; principal components; cross-sectional correlation; shrinkage regression; out-of-sample forecasting;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- 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-2017-04-23 (Econometrics)
- NEP-FOR-2017-04-23 (Forecasting)
- NEP-ORE-2017-04-23 (Operations Research)
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