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