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ijyliu / ECMA-31330-Project

Econometrics and Machine Learning Group Project
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Consider more general factor regression #48

Closed ijyliu closed 3 years ago

ijyliu commented 3 years ago

https://github.com/ijyliu/ECMA-31330-Project/issues/45#issuecomment-845292075

Also, we may also run some factor-augmented regression given that factor components is the general case

https://github.com/ijyliu/ECMA-31330-Project/issues/45#issuecomment-845603579

Do we want something with a non-panel structure? Because if it's a panel then maybe this doesn't seem too different from a case where you would use a factor method to deal with noise. Though here it's more random noise, not persistent