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Factor Dipping
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/jae.2830openalex-snapshot
Measurement of factor strength: Theory and practice
inferredcites →https://doi.org/10.1016/0024-3795(75)90025-7openalex-snapshot
Singular value inequalities for matrix sums and minors
inferredcites →https://doi.org/10.1016/j.ijforecast.2021.05.005openalex-snapshot
Macroeconomic data transformations matter
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.027openalex-snapshot
Are more data always better for factor analysis?
inferredcites →https://doi.org/10.1016/j.jeconom.2012.01.034openalex-snapshot
Asymptotics of the principal components estimator of large factor models with weakly influential factors
inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.004openalex-snapshot
Large-Dimensional Factor Modeling Based on High-Frequency Observations
inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.013openalex-snapshot
Factor models for matrix-valued high-dimensional time series
inferredcites →https://doi.org/10.1016/j.jeconom.2019.08.012openalex-snapshot
Estimating latent asset-pricing factors
inferredcites →https://doi.org/10.1016/j.jeconom.2021.04.006openalex-snapshot
Factor models with local factors — Determining the number of relevant factors
inferredcites →https://doi.org/10.1016/j.jeconom.2023.01.027openalex-snapshot
Approximate factor models with weaker loadings
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1017/cbo9780511801334openalex-snapshot
An Introduction to Random Matrices
inferredcites →https://doi.org/10.1017/s0266466611000338openalex-snapshot
EFFICIENT ESTIMATION OF FACTOR MODELS
inferredcites →https://doi.org/10.1038/s41562-020-0912-zopenalex-snapshot
Specification curve analysis
inferredcites →https://doi.org/10.1080/01621459.2017.1328359openalex-snapshot
A Randomized Sequential Procedure to Determine the Number of Factors
inferredcites →https://doi.org/10.1080/01621459.2021.1912757openalex-snapshot
Factor Models for High-Dimensional Tensor Time Series
inferredcites →https://doi.org/10.1080/01621459.2021.1928513openalex-snapshot
On Robustness of Principal Component Regression
inferredcites →https://doi.org/10.1080/07350015.2015.1086655openalex-snapshot
FRED-MD: A Monthly Database for Macroeconomic Research
inferredcites →https://doi.org/10.1080/07350015.2021.2008405openalex-snapshot
Estimation of Sparsity-Induced Weak Factor Models
inferredcites →https://doi.org/10.1080/07350015.2023.2173206openalex-snapshot
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
inferredcites →https://doi.org/10.1093/biomet/asv008openalex-snapshot
A useful variant of the Davis–Kahan theorem for statisticians
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-snapshot
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00528.xopenalex-snapshot
A PANIC Attack on Unit Roots and Cointegration
inferredcites →https://doi.org/10.1137/0707001openalex-snapshot
The Rotation of Eigenvectors by a Perturbation. III
inferredcites →https://doi.org/10.1145/1970392.1970395openalex-snapshot
Robust principal component analysis?
inferredcites →https://doi.org/10.1146/annurev-economics-080315-015356openalex-snapshot
Econometric Analysis of Large Factor Models
inferredcites →https://doi.org/10.1162/rest_a_00043openalex-snapshot
Determining the Number of Factors from Empirical Distribution of Eigenvalues
inferredcites →https://doi.org/10.1162/rest_a_00225openalex-snapshot
A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
inferredcites →https://doi.org/10.1177/1745691616658637openalex-snapshot
Increasing Transparency Through a Multiverse Analysis
inferredcites →https://doi.org/10.1198/016214505000000628openalex-snapshot
Prediction by Supervised Principal Components
inferredcites →https://doi.org/10.1198/jasa.2009.0121openalex-snapshot
On Consistency and Sparsity for Principal Components Analysis in High Dimensions
inferredcites →https://doi.org/10.1257/aer.20190159openalex-snapshot
Synthetic Difference-in-Differences
inferredcites →https://doi.org/10.1257/aer.91.2.60openalex-snapshot
Robust Control and Model Uncertainty
inferredcites →https://doi.org/10.3386/w32068openalex-snapshot
Principal Component Analysis for a Mix of Stationary and Nonstationary Variables
inferredcites →https://doi.org/10.3982/ecta12675openalex-snapshot
Sampling‐Based versus Design‐Based Uncertainty in Regression Analysis
inferredcites →https://doi.org/10.3982/ecta6964openalex-snapshot
Testing Hypotheses About the Number of Factors in Large Factor Models
inferredcites →https://doi.org/10.3982/ecta8968openalex-snapshot
Eigenvalue Ratio Test for the Number of Factors
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