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Estimation of Weak Factor Models

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  • Yoshimasa Uematsu
  • Takashi Yamagata

Abstract

In this paper, we propose a novel consistent estimation method for the approximate factor model of Chamberlain and Rothschild (1983), with large cross-sectional and timeseries dimensions (N and T, respectively). Their model assumes that the r (

Suggested Citation

  • Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," DSSR Discussion Papers 96, Graduate School of Economics and Management, Tohoku University.
  • Handle: RePEc:toh:dssraa:96
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    File URL: http://hdl.handle.net/10097/00125358
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