23 citations · 34 across the 4 of their papers we have counts for
8 papers
Recent Developments on Factor Models and its Applications in Econometric Learning
Jianqing Fan, Kunpeng Li, Yuan Liao
This paper makes a selective survey on the recent development of the factor model and its application on statistical learnings. We focus on the perspective of the low-rank structur…
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper considers generalized least squares (GLS) estimation for linear panel data models. By estimating the large error covariance matrix consistently, the proposed feasible GL…
Standard Errors for Panel Data Models with Unknown Clusters
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional cor…
Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors
Jianqing Fan, Yuan Liao
Estimations and applications of factor models often rely on the crucial condition that the number of latent factors is consistently estimated, which in turn also requires that fact…
Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes
Victor Chernozhukov, Christian Hansen, Yuan Liao +1
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we emp…
An Overview on the Estimation of Large Covariance and Precision Matrices
Jianqing Fan, Yuan Liao, Han Liu
Estimating large covariance and precision matrices are fundamental in modern multivariate analysis. The problems arise from statistical analysis of large panel economics and financ…