Jiangshan Yang

City University of Hong Kong (CityU) - Department of Economics & Finance

83 Tat Chee Avenue

Kowloon

Hong Kong

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Time-Varying Factor Selection: A Sparse Fused GMM Approach

Number of pages: 43 Posted: 01 May 2023 Last Revised: 22 Feb 2024
Liyuan Cui, Guanhao Feng, Yongmiao Hong and Jiangshan Yang
City University of Hong Kong, City University of Hong Kong (CityU), Cornell University - Department of Economics and City University of Hong Kong (CityU) - Department of Economics & Finance
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Abstract:

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factor model, fused Lasso, structural breaks, time-varying coefficient model, variable selection