Approximate factor models with weaker loadings

Factor models with local factors — Determining the number of relevant factors

(2021) Simon Freyaldenhoven   JOURNAL OF ECONOMETRICS

Estimation of Sparsity-Induced Weak Factor Models

(2021) Yoshimasa Uematsu et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Estimating latent asset-pricing factors

(2020) Martin Lettau et al.   JOURNAL OF ECONOMETRICS

Rank regularized estimation of approximate factor models

(2019) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS

(2015) Hyungsik Roger Moon et al.   ECONOMETRIC THEORY

Principal components estimation and identification of static factors

(2013) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

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

(2012) Alexei Onatski   JOURNAL OF ECONOMETRICS

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

(2008) Christine De Mol et al.   JOURNAL OF ECONOMETRICS