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Tags:
factor models
Journals:
Journal of Applied Econometrics
Formats:
ZIP
Volumes:
36
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
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