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Journals:
Journal of Applied Econometrics
Publication Year:
2017
Formats:
JPEG
Alexander Heinemann
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance...
DOI:10.15456/jae.2022326.0705140873
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