Proposes Factor-Augmented SGD that runs on streaming high-dimensional data and supplies the first convergence analysis explicitly accounting for latent-factor estimation error.
Journal of Business & Economic Statistics , volume=
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MATE is a missingness-adaptive thresholding estimator that consistently identifies the number of identifiable factors in high-dimensional incomplete data without imputation.
Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.
citing papers explorer
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Factor Augmented High-Dimensional SGD
Proposes Factor-Augmented SGD that runs on streaming high-dimensional data and supplies the first convergence analysis explicitly accounting for latent-factor estimation error.
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Missingness-Adaptive Factor Identification in High-Dimensional Data
MATE is a missingness-adaptive thresholding estimator that consistently identifies the number of identifiable factors in high-dimensional incomplete data without imputation.
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Monetary Policy in the Media Spotlight: Sentiments, Signals, and Economic Impact
Media sentiment indicators from Canadian news, when added to a New Keynesian model with endogenous central-bank response, improve out-of-sample forecasts and account for part of monetary-policy propagation to output and prices.