Approximate Factor Models with Weaker Loadings

Citations

Cited by:

1. Timothy B. Armstrong & Martin Weidner & Andrei Zeleneev, 2024. "Robust estimation and inference in panels with interactive fixed effects," CeMMAP working papers 28/24, Institute for Fiscal Studies.
2. Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
3. Peiyun Jiang & Yoshimasa Uematsu & Takashi Yamagata, 2025. "Bias Correction in Factor-Augmented Regression Models with Weak Factors," Papers 2509.02066, arXiv.org, revised Oct 2025.
4. De Vos, Ignace & Stauskas, Ovidijus, 2024. "Cross-section bootstrap for CCE regressions," Journal of Econometrics, Elsevier, vol. 240(1).
5. Lihua Lei & Brad Ross, 2023. "Estimating Counterfactual Matrix Means with Short Panel Data," Papers 2312.07520, arXiv.org, revised May 2024.
6. Songnian Chen & Junlong Feng, 2025. "Universal Factor Models," Papers 2501.15761, arXiv.org, revised Jul 2025.
7. Tom Boot & Bart Keijsers, 2025. "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers 2506.09575, arXiv.org.
8. Shu, Lei & Hao, Yifan & Chen, Yu & Yang, Qing, 2025. "SFQRA: Scaled factor-augmented quantile regression with aggregation in conditional mean forecasting," Journal of Multivariate Analysis, Elsevier, vol. 207(C).
9. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
10. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
    • Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised May 2025.
11. Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
12. Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
13. Chen, Fangyi & Chen, Yunxiao & Ying, Zhiliang & Zhou, Kangjie, 2025. "Dynamic factor analysis of high-dimensional recurrent events," LSE Research Online Documents on Economics 127778, London School of Economics and Political Science, LSE Library.
14. Peng, Bin & Su, Liangjun & Yan, Yayi, 2025. "A robust residual-based test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 251(C).
    • Bin Peng & Liangjun Su & Yayi Yan, 2024. "A Robust Residual-Based Test for Structural Changes in Factor Models," Papers 2406.00941, arXiv.org, revised Jan 2025.
    • Bin Peng & Liangjun Su & Yayi Yan, 2024. "A Robust Residual-Based Test for Structural Changes in Factor Models," Monash Econometrics and Business Statistics Working Papers 10/24, Monash University, Department of Econometrics and Business Statistics.
15. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jul 2025.
16. Anna Bykhovskaya & Vadim Gorin & Sasha Sodin, 2025. "How weak are weak factors? Uniform inference for signal strength in signal plus noise models," Papers 2507.18554, arXiv.org.
17. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
18. Duan, Junting & Pelger, Markus & Xiong, Ruoxuan, 2024. "Target PCA: Transfer learning large dimensional panel data," Journal of Econometrics, Elsevier, vol. 244(2).
19. Zhongyuan Lyu & Ming Yuan, 2025. "Large-dimensional Factor Analysis with Weighted PCA," Papers 2508.15675, arXiv.org.
20. Tae-Hwy Lee & Daanish Padha, 2025. "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers 202502, University of California at Riverside, Department of Economics.
21. Alex Shkolnik & Alec Kercheval & Hubeyb Gurdogan & Lisa R. Goldberg & Haim Bar, 2025. "Portfolio selection revisited," Annals of Operations Research, Springer, vol. 346(1), pages 137-155, March.
22. Van Deun, Katrijn & Lê, Trà T. & Malinowski, Jakub & Mols, Floortje & Schoormans, Dounya, 2025. "Regularized multigroup exploratory approximate factor analysis for easy analysis of complex data," OSF Preprints 9twbk_v1, Center for Open Science.
23. Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
24. Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Nov 2025.
25. Bailey, N. & Ditzen, J. & Holly, S., 2025. "My neighbour's neighbour is not my neighbour: Instrumentation and causality in spatial models," Cambridge Working Papers in Economics 2501, Faculty of Economics, University of Cambridge.
26. Peiyun Jiang & Takashi Yamagata, 2025. "An alternative bootstrap procedure for factor-augmented regression models," Papers 2510.00947, arXiv.org.
27. Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Models without Estimating the Rank," Papers 2311.16440, arXiv.org, revised Oct 2024.
28. Jad Beyhum, 2024. "Counterfactuals in factor models," Papers 2401.03293, arXiv.org.