21-008/III - Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence

• Authors
  Quint Wiersma, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Etienne Wijler, Vrije Universiteit Amsterdam
• Publication date
  January 21, 2021

• Keywords
  dynamic factor model, spatial error model, regularization, fused Lasso, group Lasso, treasury yield curve