Long Memory Factor Model: On Estimation of Factor Memories

Cheung, YL

Cheung, YL (corresponding author), Capital Univ Econ & Business, Int Sch Econ & Management, Beijing 100070, Peoples R China.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, ; ():

Abstract

This article considers the estimation of the integration orders of the latent factors in an approximate factor model. Both the common factors and idio......

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