Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
Author:
Affiliation:
1. Graduate School of Business; Keio University
2. Melbourne Business School; Melbourne University
3. Department of Economics; Columbia University; New York NY USA
4. School of Finance; Nankai University; Tianjin China
Funder
National Science Foundation
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference47 articles.
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2. Asset pricing with a general multifactor structure;Ando;Journal of Financial Econometrics,2014
3. Panel Data Econometrics
4. Invited lecture;Arellano,2005
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