Shrinkage estimation of multiple threshold factor models

DOI10.1016/J.JECONOM.2023.02.002MaRDI QIDQ6108331zbMATH OpenFDO

Authors C.-C. Ma, Yundong Tu

Publication date 29 June 2023

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

dimension reductionprincipal component analysisgroup Lassoinformation criterionnonlinear factor model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
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