20 citations · 39 across the 8 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
stat.ME2019★ 1 cited
Approximate Factor Models with Strongly Correlated Idiosyncratic Errors
Jiahe Lin, George Michailidis
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present.…
stat.ME2019★ 1 cited
Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models
Jiahe Lin, George Michailidis
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables and latent factors $…