378 citations · 954 across the 33 of their papers we have counts for
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econ.EM2020★ 23 cited
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…
econ.EM2020★ 22 cited
Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on…