Efficient estimation of approximate factor models via penalized maximum likelihood

DOI10.1016/j.jeconom.2015.10.003zbMath1390.62107arXiv1209.5911MaRDI QIDQ898581

Jushan Bai, Yuan Liao

Publication date: 18 December 2015

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

Full work available at URL: https://arxiv.org/abs/1209.5911

zbMATH Keywords

high dimensionality; thresholding; principal components; SCAD; heteroskedasticity; adaptive LASSO; penalized maximum likelihood; conditional sparse; cross-sectional correlation; unknown factors

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

91B84: Economic time series analysis

Uses Software

• glasso
• spcov
• PMA