Jiaen Li

Washington University in St. Louis

One Brookings Drive

Campus Box 1208

Saint Louis, MO MO 63130-4899

United States

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Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 62 Posted: 23 Jul 2018 Last Revised: 17 Jun 2021
Ai He, Dashan Huang, Jiaen Li and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
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Citation 6

Abstract:

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reduced rank, PCA, PLS, factors, factor model, cross section