Efficient estimation of approximate factor models via penalized maximum likelihood

DOI10.1016/j.jeconom.2015.10.003zbMath1390.62107arXiv1209.5911OpenAlexW3124904104MaRDI QIDQ898581

Yuan Liao, Jushan Bai

Publication date: 18 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5911

zbMATH Keywords

high dimensionalitythresholdingprincipal componentsSCADheteroskedasticityadaptive LASSOpenalized maximum likelihoodconditional sparsecross-sectional correlationunknown factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

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Uses Software

• glasso
• spcov
• PMA

Cites Work

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