Browsing Τμήμα Οικονομικών / Department of Economics by Author "Rubin, M."
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Article
Inference in Group Factor Models With an Application to Mixed-Frequency Data
Andreou, Elena; Gagliardini, P.; Ghysels, E.; Rubin, M. (2019)We derive asymptotic properties of estimators and test statistics to determine—in a grouped data setting—common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under ...