Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

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

zbMATH Keywords

model selectionshrinkage estimationstructural breakhigh-dimensional modelLassolatent factor modelGreat Recessionlarge data sets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (29)

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