The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.
Asymptotics of the principal components estimator of large factor models with weakly influential factors
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
The Scree Test For The Number Of Factors
Cattell, R. B. (1966) · Multivariate Behavioral Research · doi:10.1207/s15327906mbr0102_10 · Cited by 13,554
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. H. (1997) · Econometrica · doi:10.2307/2171753 · Cited by 7,081
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302 · cited 1×
“Bekker (1994) and Staiger and Stock (1997) use the drifting parameter device to obtain an accurate asymptotic approximation to the nite sample distribution of 2SLS and LIML estimators when there is a substantial amount of over-identi cation and when the instruments are weak, respectively.1 Bekker…”
MethodDetermining the Number of Factors in Approximate Factor Models
Bai, J., & Ng, S. (2002) · Econometrica · doi:10.1111/1468-0262.00273 · Cited by 4,099
Macroeconomic Forecasting Using Diffusion Indexes
Stock, J. H., & Watson, M. W. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102317351921 · Cited by 2,547
Toeplitz Forms and Their Applications
Grenander, U., Szegö, G., & Kac, M. (1958) · Physics Today · doi:10.1063/1.3062237 · Cited by 1,840
Econometric Theory and Methods
Davidson, R., & MacKinnon, J. G. (2003) · Cited by 1,768
DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
Marčenko, V. A., & Pastur, L. A. (1967) · Mathematics of the USSR-Sbornik · doi:10.1070/sm1967v001n04abeh001994 · Cited by 1,713
Cited by
Regional policy evaluation: interactive fixed effects and synthetic controls.
Gobillon, L., & Magnac, T. (2016) · Review of Economics and Statistics · doi:10.1162/rest_a_00537 · Cited by 424
Factor Models, Machine Learning, and Asset Pricing
Giglio, S., Kelly, B., & Xiu, D. (2022) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-101521-104735 · Cited by 187
Metadata
- Authors
- Onatski, A.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2012-06
- Volume
- 168
- Issue
- 2
- Pages
- 244-258
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1975570699
- Cited by
- 314
- References
- 34
- FWCI
- 37.68
- Type
- journal article
- Language
- en
- Open access
- closed
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- Onatski, A. (2012). Asymptotics of the principal components estimator of large factor models with weakly influential factors. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2012.01.034
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
