2 papers
stat.ME2019
The FFBS Estimation of High Dimensional Panel Data Factor Stochastic Volatility Models
Guobin Fang, Huimin Ma, Michelle Xia +1
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility…
stat.ME2013
Estimation of Dynamic Mixed Double Factors Model in High Dimensional Panel Data
Guobin Fang, Kani Chen, Bo Zhang
The purpose of this article is to develop the dimension reduction techniques in panel data analysis when the number of individuals and indicators is large. We use Principal Compone…