Approximate factor models with weaker loadings

DOI10.1016/j.jeconom.2023.01.027arXiv2109.03773OpenAlexW3197930437MaRDI QIDQ6108332

Jushan Bai, Serena Ng

Publication date: 29 June 2023

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

Full work available at URL: https://arxiv.org/abs/2109.03773

zbMATH Keywords

principal componentslow rank decompositionweak factorsfactor augmented regressions

Mathematics Subject Classification ID

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

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