LIMIT THEOREMS FOR FACTOR MODELS
© The Author(s), 2020. Published by Cambridge University Press. This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a glo...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press (CUP)
2021
|
| Online Access: | https://hdl.handle.net/1721.1/135682 |