Canonical Correlation-based Model Selection for the Multilevel Factors

Choi, In, Lin, Rui and Shin, Yongcheol (2023) Canonical Correlation-based Model Selection for the Multilevel Factors. Journal of Econometrics. pp. 22-44. ISSN 0304-4076

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Choi, In
  • Lin, Rui
  • Shin, Yongcheol (yongcheol.shin@york.ac.uk)
Copyright, Publisher and Additional Information:

© 2021 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.

Keywords: Multilevel Factor Models,Principal Components,Canonical Correlation Difference,Modified Canonical Correlations,Multilevel Asset Pricing Models
Dates:
  • Published: 1 March 2023
  • Accepted: 19 September 2021
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Funding Information:
Funder
Grant number
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)
ES/T01573X/1
Depositing User: Pure (York)
Date Deposited: 21 Sep 2021 14:20
Last Modified: 01 Mar 2025 01:13
Published Version: https://doi.org/10.1016/j.jeconom.2021.09.008
Status: Published
Refereed: Yes
Identification Number: 10.1016/j.jeconom.2021.09.008
Open Archives Initiative ID (OAI ID):

Download

Filename: CLS.pdf

Description: CLS

Licence: CC-BY-NC-ND 2.5

Export

Statistics