Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

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Publication:4610822

DOI10.1093/restud/rdw005zbMath1409.62143OpenAlexW2167662363MaRDI QIDQ4610822

Xu Cheng, Frank Schorfheide, Zhipeng Liao

Publication date: 23 January 2019

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w19792.pdf




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