This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Traditional econometric analysis concentrate on classical methods which are far from suitable handling actual economic problems. Modern econometric analysis tries to develop new approaches from an economic perspective. As a consequence, there is less of a unified econometric theory than in...