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Selecting Instrumental Variables in a Data Rich Environment
Ng, Serena; Bai, Jushan - In: Journal of Time Series Econometrics 1 (2009) 1, pp. 4-4
consider boosting, a method that does not require an a priori ordering of the instruments. We also suggest a way to pre …
Persistent link: https://www.econbiz.de/10004988901
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Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...
Persistent link: https://www.econbiz.de/10011107278
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Asset pricing with a general multifactor structure
Ando, Tomohiro; Bai, Jushan - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 556-604
Persistent link: https://www.econbiz.de/10011339275