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Tze L. Lai

Stanford University



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Ka W. Tsang

The Chinese University of Hong Kong



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Hongsong Yuan

Shanghai University of Finance and Economics



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408 – Recent Developments in Factor Models and Stochastic Regressions of Multivariate Time Series

Dynamic Factor Models and Reduced Rank Regression in High-Dimensional Time Series

Sponsor: International Chinese Statistical Association
Keywords: canonical correlation analysis, dynamic factor models, macroeconomic time series, multivariate stochastic regression, group orthogonal matching pursuit, rank selection

Tze L. Lai

Stanford University

Ka W. Tsang

The Chinese University of Hong Kong

Hongsong Yuan

Shanghai University of Finance and Economics

We give a brief review of dynamic factor models and their financial and econometric applications. We then describe new methods to address some long-standing difficulties in choosing the factors or more targeted predictors and modeling their dynamics in high-dimensional time series.

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