269 Mercer Street, 7th Floor
New York, NY 10003
United States
New York University (NYU) - Department of Economics
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factor model, beta estimation, measurement error, instrumental variable, many instruments, GMM
Panel data, common factors, common trends, principal components
High dimensionality, unknown factors, principal components, sparse matrix, conditional sparse, thresholding, cross-sectional correlation, penalized maximum likelihood, adaptive lasso, heteroskedasticity
panel data cointegration, cross-sectional independence, cross-sectional dependence, continuous updated fully modified (CUP-FM) estimator, Monte Carlo results, two-step FM (2S-FM) estimator, OLS estimator
High dimensionality, unknown factors, conditional sparsity, thresholding, cross-sectional correlation, heteroskedasticity, optimal weight matrix, interactive effect