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Asymptotic analysis of the squared estimation error in misspecified factor models

Accepted version
Peer-reviewed

Type

Article

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

Volume Title

186

Publisher

Elsevier Ltd