Search Results - subject:"Rank regression"

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Mining the factor zoo : estimation of latent factor models with sufficient proxies

Wan, Runzhe; Li, Yingying; Lu, Wenbin; Song, Rui - In: Journal of econometrics 239 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015074454

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - 2021

Persistent link: https://www.econbiz.de/10012620761

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - 2021

Persistent link: https://www.econbiz.de/10012627501

Reduced rank regression models in economics and finance

Cubadda, Gianluca; Hecq, Alain W. J. - 2021

Persistent link: https://www.econbiz.de/10013257759

On the role of partial least squares in path analysis for the social sciences

Cook, R. Dennis; Forzani, Liliana - In: Journal of business research : JBR 167 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014383048

Simultaneous dimension reduction and variable selection for multinomial logistic regression

Wen, Canhong; Li, Zhenduo; Dong, Ruipeng; Ni, Yijin; … - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 5, pp. 1044-1060

Persistent link: https://www.econbiz.de/10014422914

Sequential scaled sparse factor regression

Zheng, Zemin; Li, Yang; Wu, Jie; Wang, Yuchen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 595-604

Persistent link: https://www.econbiz.de/10013533979

Likelihood based inference for an Identifiable Fractional Vector Error Correction Model

Carlini, Federico; Lasak, Katarzyna - 2018

We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...

Persistent link: https://www.econbiz.de/10011932356

Likelihood based inference for an identifiable fractional vector error correction model

Carlini, Federico; Łasak, Katarzyna - 2018

Persistent link: https://www.econbiz.de/10011928312

Maximum likelihood estimation of the I(2) model under linear restrictions

Doornik, Jurgen A. - In: Econometrics 5 (2017) 2, pp. 1-20

, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on …

Persistent link: https://www.econbiz.de/10011755375

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