Robust covariance estimation for approximate factor models
نویسندگان
چکیده
منابع مشابه
Large Covariance Matrix Estimation in Approximate Factor Models
Due to the abundance of high dimensional data in modern econometric applications, the estimation of a large covariance matrix for panel data has become an important question. We consider the following factor model: yit = b ′ ift + uit, i ≤ N, t ≤ T where ft is a fixed dimension vector of common factors, which may or may not be observable; bi is the factor loading vector, and uit is the idiosync...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.09.003