This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting model that learns new factor decompositions...