Asymptotic analysis of the squared estimation error in misspecified factor models
Accepted version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Onatski, A
Description
Keywords
Factor model, Loss efficiency, Misspecification, Number of factors
Journal Title
Journal of Econometrics
Conference Name
Journal ISSN
0304-4076
1872-6895
1872-6895
Volume Title
186
Publisher
Elsevier Ltd