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Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension. (2016). Bai, Jushan ; Li, Kunpeng.
In: The Review of Economics and Statistics.
RePEc:tpr:restat:v:98:y:2016:i:2:p:298-309.

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  2. Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo.
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  3. Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni.
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  4. High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco.
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  6. Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen.
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  7. Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego.
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  8. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
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  10. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
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  11. Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo.
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  12. Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe.
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  13. Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo.
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  15. Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana.
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  16. Dynamic factor models: Does the specification matter?. (2022). Miranda, Karen ; Ruiz, Esther ; Poncela, Pilar.
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  17. Estimation and inference for high dimensional factor model with regime switching. (2022). Wang, FA ; Urga, Giovanni.
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  18. Consistently recovering the signal from noisy functional data. (2022). Jammoul, Fatima ; Hormann, Siegfried.
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  19. Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions. (2022). Wang, FA.
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  20. Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2022). Ortega, Esther Ruiz ; Poncela, Maria Pilar ; Fresoli, Diego Eduardo.
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  21. A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J.
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  22. A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B.
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  23. On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo.
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  24. Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo.
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  25. Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni.
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  26. .

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  29. Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar.
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  30. On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE.
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  32. Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian.
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  33. Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz.
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  34. Large?sample approximations and change testing for high?dimensional covariance matrices of multivariate linear time series and factor models. (2021). Steland, Ansgar ; Bours, Monika.
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  35. A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo (Jack).
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  36. A replication of A quasi-maximum likelihood approach for large, approximate dynamic factor models (Review of Economics and Statistics, 2012). (2020). Venetis, Ioannis ; Lucchetti, Riccardo.
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  37. A cross‐section average‐based principal components approach for fixed‐T panels. (2020). Westerlund, Joakim.
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  38. Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother. (2020). Solberger, Martin ; Spnberg, Erik.
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  40. A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel.
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  41. Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan.
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  42. On the penalized maximum likelihood estimation of high-dimensional approximate factor model. (2019). Yao, Chaoli ; Yang, HU ; Wang, Shaoxin.
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  43. A Nonlinear Dynamic Factor Model of Health and Medical Treatment. (2019). Peracchi, Franco ; Rossetti, Claudio.
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  44. Maximum likelihood estimation and inference for high dimensional nonlinear factor models with application to factor-augmented regressions. (2019). Wang, FA.
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  45. Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine.
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  47. Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine .
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  48. Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele.
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  49. A nonlinear dynamic factor model of health and medical treatment. (2019). Peracchi, Franco ; Rossetti, Claudio.
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  50. Consistent estimation of time-varying loadings in high-dimensional factor models. (2019). Urga, Giovanni ; Hillebrand, Eric ; Mikkelsen, Jakob Guldbak .
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  51. Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo.
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  52. Dynamic Factor Models in gretl. The DFM package. (2019). Venetis, Ioannis ; Lucchetti, Riccardo (Jack).
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  53. Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models. (2018). Lu, Lina ; Li, QI.
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  54. Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Lu, Lina ; Li, QI.
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  55. Fixed-effects dynamic spatial panel data models and impulse response analysis. (2017). Li, Kunpeng.
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  56. Detecting Granular Time Series in Large Panels. (2017). Mesters, Geert ; Brownlees, Christian.
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  57. Estimation and Inference of FAVAR Models. (2016). Lu, Lina ; Bai, Jushan ; Li, Kunpeng.
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  58. Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models. (2016). Lu, Lina ; Li, QI.
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