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Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
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Identification and estimation of a large factor model with structural instability
Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 197 (2017) 1, pp. 87-100
Persistent link: https://www.econbiz.de/10011818347
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Estimating and testing high dimensional factor models with multiple structural changes
Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 220 (2021) 2, pp. 349-365
Persistent link: https://www.econbiz.de/10012618518
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Estimation and inference for high dimensional factor model with regime switching
Urga, Giovanni; Wang, Fa - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075174