Approximate factor models with weaker loadings (Q6108332): Difference between revisions

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-.1016/j.jeconom.2023.01.027
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+W3197930437
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+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
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+Q3231647
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+Inferential Theory for Factor Models of Large Dimensions
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+Determining the Number of Factors in Approximate Factor Models
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+Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
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+Principal components estimation and identification of static factors
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+Rank regularized estimation of approximate factor models
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+A numerical approach to the approximate and the exact minimum rank of a covariance matrix
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
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+Factor models with local factors -- determining the number of relevant factors
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+Estimating latent asset-pricing factors
@@ Property / cites work: Estimating latent asset-pricing factors / rank @@
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+DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
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+Asymptotics of the principal components estimator of large factor models with weakly influential factors
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+Forecasting Using Principal Components From a Large Number of Predictors
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@@ Property / DOI @@
+.1016/J.JECONOM.2023.01.027
@@ Property / DOI: 10.1016/J.JECONOM.2023.01.027 / rank @@
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+Publication:6108332