Pesaran, M. Hashem; Smith, Ron - 2023
-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … asymptotic distribution under a general setting that allows for idiosyncratic pricing errors, weak missing factors, as well as … weak error cross-sectional dependence. The implications of semi-strong factors for the asymptotic distribution of the …