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09/08/2021
Approximate Factor Models with Weaker Loadings
Pervasive cross-section dependence is increasingly recognized as an appr...
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07/14/2021
Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
The paper provides three results for SVARs under the assumption that the...
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02/20/2021
Estimation and Inference by Stochastic Optimization: Three Examples
This paper illustrates two algorithms designed in Forneron Ng (2020)...
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08/01/2020
Simpler Proofs for Approximate Factor Models of Large Dimensions
Estimates of the approximate factor model are increasingly used in empir...
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07/15/2020
Sketching for Two-Stage Least Squares Estimation
When there is so much data that they become a computation burden, it is ...
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04/20/2020
Inference by Stochastic Optimization: A Free-Lunch Bootstrap
Assessing sampling uncertainty in extremum estimation can be challenging...
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10/10/2019
Latent Dirichlet Analysis of Categorical Survey Responses
Data from surveys are increasingly available as the internet provides a ...
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10/07/2019
Boosting High Dimensional Predictive Regressions with Time Varying Parameters
High dimensional predictive regressions are useful in wide range of appl...
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07/03/2019
An Econometric Perspective of Algorithmic Sampling
Datasets that are terabytes in size are increasingly common, but compute...
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07/03/2019