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The article proposes a novel principal volatil- ity component (PVC) technique based on a generalized kurto- sis matrix in a time series context. The proposed test statistics allow
To cite this article: Mehmet Caner & Xu Han (2014) Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators,
Besides endogenous, contextual, and correlated effects as in single-equation network models, the simultaneous equations network model also incor- porates the simultaneity effect ,
The plan of the article is as follows. Section 2 describes the varying-coefficient expectile model, and develops an ALS- based nonparametric approach for model estimation. The
In particular, the article (i) reviews the central elements of the forecasting process at European Central Bank (ECB) and Federal Reserve Bank of New York (FRBNY), (ii) provides
One should also be cautious with interpreting the unexplained component as labor market discrimination, as often seen in the literature, because this would be a causal claim,
In this article, we discuss the minimal requirement of identi- fying dynamic factor models. Our identification scheme allows the interaction among different factors, which provides
The article proposes an LS regression for the estimation of integrated volatility and noise moments of stochastic volatility martingales observed with noise, based on sampling
