Qi Li

Texas A&M University

7101 University Avenue

STEM 318 H

Texarkana, TX 75503

United States

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Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-2
Number of pages: 57 Posted: 24 Jan 2019 Last Revised: 18 Mar 2022
Kunpeng Li, Qi Li and Lina Lu
Capital University of Economics and Business, Texas A&M University and Federal Reserve Banks - Federal Reserve Bank of Boston
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Abstract:

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Constrained factor models, Maximum likelihood estimation, High dimensionality, Inferential theory