Semiparametric Conditional Factor Models: Estimation and Inference
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https://www.nber.org/papers/w31817
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资源简介：
This paper introduces a simple and tractable sieve estimation of semiparametric conditional factor models with latent factors. We establish large-N-asymptotic properties of the estimators without requiring large T. We also develop a simple bootstrap procedure for conducting inference about the
提供机构：
美国国家经济研究局
创建时间：
2023-10-01
