Target PCA: Transfer learning large dimensional panel data

Approximate factor models with weaker loadings

(2023) Jushan Bai et al.   Journal of Econometrics

Factor-based imputation of missing values and covariances in panel data of large dimensions

(2022) Ercument Cahan et al.   JOURNAL OF ECONOMETRICS

Large dimensional latent factor modeling with missing observations and applications to causal inference

(2022) Ruoxuan Xiong et al.   JOURNAL OF ECONOMETRICS

State-Varying Factor Models of Large Dimensions*

(2021) Markus Pelger et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Interpretable Sparse Proximate Factors for Large Dimensions

(2021) Markus Pelger et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data

(2021) Jushan Bai et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Scaled PCA: A New Approach to Dimension Reduction

(2021) Dashan Huang et al.   MANAGEMENT SCIENCE

Estimating latent asset-pricing factors

(2020) Martin Lettau et al.   JOURNAL OF ECONOMETRICS

On factor models with random missing: EM estimation, inference, and cross validation

(2020) Sainan Jin et al.   JOURNAL OF ECONOMETRICS

Inference and uncertainty quantification for noisy matrix completion

(2019) Yuxin Chen et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

Large-dimensional factor modeling based on high-frequency observations

(2018) Markus Pelger   JOURNAL OF ECONOMETRICS

On time-varying factor models: Estimation and testing

(2017) Liangjun Su et al.   JOURNAL OF ECONOMETRICS

Projected principal component analysis in factor models

(2016) Jianqing Fan et al.   ANNALS OF STATISTICS

FRED-MD: A Monthly Database for Macroeconomic Research

(2016) Michael W. McCracken et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

State Space Models and MIDAS Regressions

(2013) Jennie Bai et al.   Econometric Reviews

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Asymptotics of the principal components estimator of large factor models with weakly influential factors

(2012) Alexei Onatski   JOURNAL OF ECONOMETRICS

GLS Estimation of Dynamic Factor Models

(2011) Jörg Breitung et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

EFFICIENT ESTIMATION OF FACTOR MODELS

(2011) In Choi   ECONOMETRIC THEORY

Regression models with mixed sampling frequencies

(2010) Elena Andreou et al.   JOURNAL OF ECONOMETRICS

Panel Data Models With Interactive Fixed Effects

(2009)   ECONOMETRICA

Exact Matrix Completion via Convex Optimization

(2009) Emmanuel J. Candès et al.   FOUNDATIONS OF COMPUTATIONAL MATHEMATICS

A Survey on Transfer Learning

(2009) Sinno Jialin Pan et al.   IEEE TRANSACTIONS ON KNOWLEDGE AND DATA ENGINEERING