Scaled PCA: A New Approach to Dimension Reduction

Estimating latent asset-pricing factors

(2020) Martin Lettau et al.   JOURNAL OF ECONOMETRICS

Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach

(2017) Hai Lin et al.   MANAGEMENT SCIENCE

FRED-MD: A Monthly Database for Macroeconomic Research

(2016) Michael W. McCracken et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

The three-pass regression filter: A new approach to forecasting using many predictors

(2015) Bryan Kelly et al.   JOURNAL OF ECONOMETRICS

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Statistical analysis of factor models of high dimension

(2012) Jushan Bai et al.   ANNALS OF STATISTICS

Efficient Semiparametric Estimation of the Fama-French Model and Extensions

(2012)   ECONOMETRICA

Asymptotics of the principal components estimator of large factor models with weakly influential factors

(2012) Alexei Onatski   JOURNAL OF ECONOMETRICS

Forecasting economic time series using targeted predictors

(2008) Jushan Bai et al.   JOURNAL OF ECONOMETRICS