Shrinkage estimation of multiple threshold factor models

DOI10.1016/J.JECONOM.2023.02.002MaRDI QIDQ6108331FDOQ6108331

Yundong Tu, C.-C. Ma

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

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