A diagnostic criterion for approximate factor structure
Year of publication: |
2019
|
---|---|
Authors: | Gagliardini, Patrick ; Ossola, Elisa ; Scaillet, Olivier |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 2, p. 503-521
|
Subject: | Approximate factor model | Asset pricing | Interactive fixed effects | Large panel | Model selection | CAPM | Theorie | Theory | Faktorenanalyse | Factor analysis | Panel | Panel study | Modellierung | Scientific modelling |
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