Efficient estimation of approximate factor models via penalized maximum likelihood
Year of publication: |
March 2016
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Authors: | Bai, Jushan ; Liao, Yuan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 1, p. 1-18
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Subject: | High dimensionality | Unknown factors | Principal components | Conditional sparse | Thresholding | Cross-sectional correlation | Penalized maximum likelihood | Adaptive LASSO | SCAD | Heteroskedasticity | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis |
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