Estimation and inference for high dimensional factor model with regime switching
Giovanni Urga, Fa Wang
| Year of publication: |
2024
|
|---|---|
| Authors: | Urga, Giovanni ; Wang, Fa |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 241.2024, 2, Art.-No. 105752, p. 1-18
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| Subject: | EM algorithm | Factor model | High dimension | Maximum likelihood | Regime switching | Turning points | Faktorenanalyse | Factor analysis | Markov-Kette | Markov chain | Induktive Statistik | Statistical inference | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105752 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075174