The market price-dividend ratio is highly correlated with several macroeconomic variables, particularly inflation and labor market variables, but not with aggregate consumption and GDP. We incorporate
This article develops an adaptive group lasso estimator for factor models with both global and group-specific factors. The global factors can affect all variables, whereas the group-specific factors a
Factors estimated from large macroeconomic panels are being used in an increasing number of applications. However, little is known about how the size and the composition of the data affect the factor
