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
model selectionshrinkage estimationstructural breakhigh-dimensional modelLassolatent factor modelGreat Recessionlarge data sets
Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
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