Factor models with many assets: Strong factors, weak factors, and the two-pass procedure

Author(s)
Anatolyev, Stanislav; Mikusheva, Anna
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Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/
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Date issued
2022
URI
https://hdl.handle.net/1721.1/145190
Department
Massachusetts Institute of Technology. Department of Economics
Journal
Journal of Econometrics
Publisher
Elsevier BV
Citation
Anatolyev, Stanislav and Mikusheva, Anna. 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure." Journal of Econometrics, 229 (1).
Version: Author's final manuscript
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