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20202025
most citedEqual Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts

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econ.EM2022

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Giovanni Urga, Fa Wang

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the…