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Latent Factor Analysis in Short Panels

https://doi.org/10.2139/ssrn.5402937
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors
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Eigenvalue Tests for the Number of Latent Factors in Short Panels
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Determining the Number of Factors in Approximate Factor Models
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Modeling and Forecasting Realized Volatility
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Accurate Confidence Regions for Principal Components Factors*
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Hypothesis Testing in Econometrics
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Determining the Number of Factors from Empirical Distribution of Eigenvalues
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Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension
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Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls
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Forecasting Using Principal Components From a Large Number of Predictors
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A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
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The Scree Test For The Number Of Factors
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Covariance regularization by thresholding
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Statistical analysis of factor models of high dimension
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Asymptotic Theory for Principal Component Analysis
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Asymptotically uniformly most powerful tests in parametric and semiparametric models
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Order Estimation in ARMA-Models by Lagrangian Multiplier Tests
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The Asymptotic Normal Distribution of Estimators in Factor Analysis under General Conditions
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Matrix Mathematics
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High-Frequency Financial Econometrics
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Idiosyncratic Equity Risk Two Decades Later
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Modeling and Forecasting Realized Volatility
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A Diagnostic Criterion for Approximate Factor Structure
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Improved Inference on the Rank of a Matrix
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Generalized Reduced Rank Tests Using the Singular Value Decomposition
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Eigenvalue Tests for the Number of Latent Factors in Short Panels
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Illuminating Important Economic News by Candlesticks: Optimal Testing meets Technical Analysis
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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
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Matrix Differential Calculus With Applications in Statistics and Econometrics
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Maximum Likelihood Estimation of Misspecified Models
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Maximum Likelihood Estimation of Misspecified Models
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Large Sample Properties of Generalized Method of Moments Estimators
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Consistent Estimates Based on Partially Consistent Observations
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Exponential Polynomials
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An Introduction to Multivariate Statistical Analysis.
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Multivariate Statistics: A Vector Space Approach
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One Factor to Bind the Cross-Section of Returns
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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Inference in Group Factor Models With an Application to Mixed‐Frequency Data
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Panel Data Models With Interactive Fixed Effects
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Testing Hypotheses About the Number of Factors in Large Factor Models
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Eigenvalue Ratio Test for the Number of Factors
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Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
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Eigenvalue tests for the number of latent factors in short panels
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