Dataset - ZBW Journal Data Archive

Natalia Bailey
;
George Kapetanios
;
M. Hashem Pesaran

Measurement of factor strength: Theory and practice (replication data)

This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The estimator is based on the number of statistically...

DOI:10.15456/jae.2022327.0717992046
- TXT
- ZIP