Factor models with many assets: Strong factors, weak factors, and the two-pass procedure-Reference-Cited by-同舟云学术

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Factor models with many assets: Strong factors, weak factors, and the two-pass procedure

Published:2021-02 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Anatolyev Stanislav,Mikusheva Anna

Funder

Grantová Agentura České Republiky

National Science Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference42 articles.

1. Inference in regression models with many regressors;Anatolyev;J. Econometrics,2012

2. Limit theorems for factor models;Anatolyev;Econometric Theory,2021

3. Cross-section regression with common shocks;Andrews;Econometrica,2005

4. Jackknife instrumental variables estimation;Angrist;J. Appl. Econometrics,1999

5. Split-sample instrumental variables estimates of the return to schooling;Angrist;J. Bus. Econ. Stat.,1992

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