Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Document Details

Document Type
Pub Defense Publication
Publication Date
Jan 28, 2022
Source ID
10.1080/01621459.2021.2004895

Entities

People

  • Jianqing Fan
  • Marcelo C. Medeiros
  • Ricardo Masini

Organizations

  • Fundação Getúlio Vargas
  • National Science Foundation
  • Office of Naval Research
  • Pontifical Catholic University of Rio de Janeiro
  • Princeton University