Rank regularized estimation of approximate factor models
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Publication:2323367
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Cited in
(28)- Interpretable Sparse Proximate Factors for Large Dimensions
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Principal eigenportfolios for U.S. equities
- Consistently recovering the signal from noisy functional data
- Approximate factor models with weaker loadings
- Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
- Factor-Adjusted Regularized Model Selection
- Subspace clustering for panel data with interactive effects
- Improved penalization for determining the number of factors in approximate factor models
- On factor models with random missing: EM estimation, inference, and cross validation
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- A random-perturbation-based rank estimator of the number of factors
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- Statistical analysis of sparse approximate factor models
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- Factor models with local factors -- determining the number of relevant factors
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Statistical inference for principal components of spiked covariance matrices
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Nuclear norm regularized quantile regression with interactive fixed effects
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