Wenbin Lu

North Carolina State University

Hillsborough Street

Raleigh, NC 27695

United States

  • North Carolina State University

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Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies

Journal of Econometrics, Forthcoming
Number of pages: 38 Posted: 04 Jan 2023
Runzhe Wan, Yingying Li, Yingying Li, Wenbin Lu and Rui Song
North Carolina State University, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, North Carolina State University and North Carolina State University - Department of Statistics
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Low Rank, Heavy Tails, High Dimensionality, Reduced-rank Regression