Published in Econometric Reviews, 2025
This paper considers the estimation and inference of matrix-valued factor models under a fixed time horizon.
Cheung, Y.L. (2025). "Inference on matrix-valued factor models under a fixed time horizon" Econometric Reviews, accepted. doi: 10.1080/07474938.2025.2527621
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Published in Finance Research Letters, 2024
This letter proposes a simple method to avoid the jumps present in the rotation matrix when local PCA is used to estimate a time-varying factor model.
Cheung, Y.L. (2024). "Avoiding jumps in the rotation matrix of time-varying factor models" Finance Research Letters, 105869. doi: 10.1016/j.frl.2024.105869
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Published in Economics Bulletin, 2024
This note considers two sets of identification restrictions that help exactly identify the matrix-valued factor model.
Cheung, Y.L. (2024). "Identification of matrix-valued factor models" Economics Bulletin, 44(2), 550-556. doi: --
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Published in Journal of Economic Behavior & Organization, 2024
The paper investigates the long-run output effects of international financial integration, and in particular their dependence on a countrys institutions as proxied by the quality of governance and the level of domestic financial market development.
Binder, M., Y.L. Cheung, G. Georgiadis & S. Sharma (2024). "Institutions, international financial integration, and output growth" Journal of Economic Behavior & Organization, 219, 450-472. doi: 10.1016/j.jebo.2024.01.015
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Published in Journal of Business & Economic Statistics, 2022
This paper considers the situation under which both the factors and the loadings of TVFM can be consistently estimated without rotations.
Cheung, Y.L. (2024). "Identification of time-varying factor models" Journal of Business & Economic Statistics, 42(1), 76-49. doi: 10.1080/07350015.2022.2151449
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Published in Journal of Business & Economic Statistics, 2020
This paper considers the estimation of the integration orders of the latent factors in an approximate factor model.
Cheung, Y.L. (2022). "Long memory factor model: On estimation of factor memories" Journal of Business & Economic Statistics, 40(2), 756-769. doi: 10.1080/07350015.2020.1867559
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Published in Economics Letters, 2019
The objective functions of two nonstationarity-extended Whittle estimators are found to be discontinuous. This letter provides a simple solution to the problem.
Cheung, Y.L. (2020). "Nonstationarity-extended Whittle estimation with discontinuity: A correction" Economics Letters, 187. doi: 10.1016/j.econlet.2019.108914
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Published in AStA Advances in Statistical Analysis, 2019
We consider six variants of (local) Whittle estimators of the fractional order of integration d.
Cheung, Y.L. & U. Hassler (2020). "Whittle-type estimation under long memory and nonstationarity." AStA Advances in Statistical Analysis, 104, 363-383. doi: 10.1007/s10182-019-00358-0
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