A Generalized Factor Model with Local Factors
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- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
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- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strength: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 7/20, Monash University, Department of Econometrics and Business Statistics.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series 8146, CESifo.
- Simon Freyaldenhoven, 2020. "Identification Through Sparsity in Factor Models," Working Papers 20-25, Federal Reserve Bank of Philadelphia.
- Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
- Yoshimasa Uematsu & Takashi Yamagata, 2019.
"Estimation of Weak Factor Models,"
DSSR Discussion Papers
96, Graduate School of Economics and Management, Tohoku University.
- Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053, Institute of Social and Economic Research, Osaka University.
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More about this item
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- 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-2017-11-26 (Econometrics)
- NEP-ORE-2017-11-26 (Operations Research)
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