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21-008/III - Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels


  • Authors
    Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Quint Wiersma, Vrije Universiteit Amsterdam
  • Publication date
    January 21, 2021
  • Keywords
    high-dimensional factor model, Lasso, spatial error model, yield curve
  • JEL
    C32, C33, C38