Efficient estimation of approximate factor models via penalized maximum likelihood
Jushan Bai, Yuan Liao
| Year of publication: |
March 2016
|
|---|---|
| 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
|
| Subject: | High dimensionality | Unknown factors | Principal components | Conditional sparse | Thresholding | Cross-sectional correlation | Penalized maximum likelihood | Adaptive LASSO | SCAD | Heteroskedasticity | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Faktorenanalyse | Factor analysis | Korrelation | Correlation | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011594307