Inference in group factor models with an application to mixed-frequency data

DOI10.3982/ECTA14690MaRDI QIDQ5239833zbMATH OpenWikidataFDO

Authors

Publication date 22 October 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA14690

zbMATH Keywords

canonical correlationslarge panelmixed frequencyoutput growthparameter-free asymptotic Gaussian distributionunobservable pervasive factors

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

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Cited in

(21)

• Estimation of a model containing unobservable variables using grouped observations. An application to the permanent income hypothesis
• On the grouped LSE under an errors-in-variables model
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
• Canonical correlation-based model selection for the multilevel factors
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• One-way or two-way factor model for matrix sequences?
• Circularly Projected Common Factors for Grouped Data
• Estimation of Sparsity-Induced Weak Factor Models
• State-Varying Factor Models of Large Dimensions
• Interpretable Sparse Proximate Factors for Large Dimensions
• Aggregated Projection Method: A New Approach for Group Factor Model
• High-dimensional factor analysis for network-linked data
• Multilevel matrix factor model
• Inference for large dimensional factor models under general missing data patterns
• Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects
• Spanning latent and observable factors
• Convolution-t distributions
• Latent factor analysis in short panels
• Testing for common latent factors across two short panels
• Enhancing actuarial projections: a factor-augmented cohort component method for forecasting age- and gender-specific population
• Estimation of high-dimensional linear factor models with grouped variables

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