High-dimensional conditional factor model

DOI10.1016/J.JECONOM.2026.106203MaRDI QIDQ7228866zbMATH OpenFDO

Authors Zhonghao Fu, Shang Gao, Liangjun Su, Xia Wang

Publication date 14 April 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2026.106203

zbMATH Keywords

conditional factor modelsinstrumented principal component analysisvariable selection

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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