2 papers
econ.EM2021
Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models
Antoine Djogbenou, Razvan Sufana
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables. I…
econ.EM2021
Composite Likelihood for Stochastic Migration Model with Unobserved Factor
Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak +1
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms. This model i…