6 papers
High-Dimensional Panel Data Models with Interactive Fixed Effects: Beyond the Linear Case
Maximilian Ruecker, Michael Vogt, Oliver Linton
Modern economic panel data sets are often high-dimensional: they contain information on a wide variety of control variables whose number may even exceed the sample size. Neverthele…
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Degui Li, Oliver Linton, Haoxuan Zhang
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an…
Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects
Maximilian Ruecker, Michael Vogt, Oliver Linton +1
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial…
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data
Chunrong Ai, Oliver Linton, Zheng Zhang
This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data studied by Morikawa and Kim (2016). Their semiparametrically efficient…
Estimation in Semiparametric Quantile Factor Models
Shujie Ma, Oliver Linton, Jiti Gao
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of…
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case
Christian M. Hafner, Oliver B. Linton, Haihan Tang
We propose a Kronecker product model for correlation or covariance matrices in the large dimensional case. The number of parameters of the model increases logarithmically with the…