Estimation of Weak Factor Models

Yoshimasa Uematsu and Takashi Yamagatay

No 108, DSSR Discussion Papers from Graduate School of Economics and Management, Tohoku University

Abstract: This paper 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 data covariance matrix grows proportionally to N ??k with unknown exponents 0

Pages: 47 pages
Date: 2020-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:toh:dssraa:108

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