When specifying and estimating latent factor models, a common assumption made is one of factor pervasiveness, which requires that Γ'Γ/N converges to a positive definite matrix, as N → ∞, where Γ denotes the loading matrix of the factor model. This paper builds on the recent nascent...

In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...