Factor models with many assets: strong factors, weak factors, and the two-pass procedure (Q2673198): Difference between revisions

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+Inference in regression models with many regressors
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+LIMIT THEOREMS FOR FACTOR MODELS
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+Cross-Section Regression with Common Shocks
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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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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Q4794153
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+Common risk factors in the returns on stocks and bonds
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+Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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+A diagnostic criterion for approximate factor structure
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+Spurious Inference in Reduced-Rank Asset-Pricing Models
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+Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
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+Tests of risk premia in linear factor models
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+Unexplained factors and their effects on second pass \(R\)-squared's
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+Estimating latent asset-pricing factors
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+Generalized Method of Moments With Many Weak Moment Conditions
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+Testing Hypotheses About the Number of Factors in Large Factor Models
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+Asymptotics of the principal components estimator of large factor models with weakly influential factors
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+Instrumental Variables Regression with Weak Instruments
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