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Found 4 papers, 0 papers with code
A Unified Framework for Estimation of High-dimensional Conditional Factor Models
This paper develops a general framework for estimation of high-dimensional conditional factor models via nuclear norm regularization.
Robust Estimation of Conditional Factor Models
The methods allow us not only to estimate conditional factor structures of distributions of asset returns utilizing characteristics, but also to conduct robust inference in conditional factor models, which enables us to analyze the cross section of asset returns with heavy tails.
Semiparametric Conditional Factor Models: Estimation and Inference
This paper introduces a simple and tractable sieve estimation of semiparametric conditional factor models with latent factors.
Implementing an Improved Test of Matrix Rank in Stata
We develop a Stata command, bootranktest, for implementing the matrix rank test of Chen and Fang (2019) in linear instrumental variable regression models.
