Measurement of factor strength: Theory and practice-Reference-Cited by-同舟云学术

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Measurement of factor strength: Theory and practice

Published:2021-08 Issue:5 Volume:36 Page:587-613
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J of Applied Econometrics

Author:

Bailey Natalia¹,Kapetanios George²,Pesaran M. Hashem³⁴

Affiliation:

1. Department of Econometrics and Business Statistics Monash University Melbourne Victoria Australia

2. Department of Banking & Finance King's Business School, King's College London UK

3. Department of Economics University of Southern California Los Angeles California

4. Trinity College University of Cambridge Cambridge UK

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2830

Reference36 articles.

1. The Network Origins of Aggregate Fluctuations

2. Anatolyev S. &Mikusheva A.(2021).Factor models with many assets: Strong factors weak factors and the two‐pass procedure.Journal of Econometrics forthcoming.

3. Testing When a Parameter is on the Boundary of the Maintained Hypothesis

4. Inferential Theory for Factor Models of Large Dimensions

5. Determining the Number of Factors in Approximate Factor Models

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