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09/01/2022
A Unified Framework for Estimation of High-dimensional Conditional Factor Models
This paper develops a general framework for estimation of high-dimension...
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04/02/2022
Robust Estimation of Conditional Factor Models
This paper develops estimation and inference methods for conditional qua...
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12/14/2021
Semiparametric Conditional Factor Models: Estimation and Inference
This paper introduces a simple and tractable sieve estimation of semipar...
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08/01/2021
Implementing an Improved Test of Matrix Rank in Stata
We develop a Stata command, bootranktest, for implementing the matrix ra...
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01/15/2019
Inference on Functionals under First Order Degeneracy
This paper presents a unified second order asymptotic framework for cond...
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12/06/2018