Estimation of Sparsity-Induced Weak Factor Models

Yoshimasa Uematsu and Takashi Yamagata

Journal of Business & Economic Statistics, 2022, vol. 41, issue 1, 213-227

Abstract: This article investigates estimation of sparsity-induced weak factor (sWF) models, with large cross-sectional and time-series dimensions (N and T, respectively). It assumes that the kth largest eigenvalue of a data covariance matrix grows proportionally to Nαk with unknown exponents 0

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:41:y:2022:i:1:p:213-227

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DOI: 10.1080/07350015.2021.2008405

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