2 citations · 2 across the 3 of their papers we have counts for
Showing econ.EMShow all
3 papers · 1 filter
econ.EM2020
Testing Many Restrictions Under Heteroskedasticity
Stanislav Anatolyev, Mikkel Sølvsten
We propose a hypothesis test that allows for many tested restrictions in a heteroskedastic linear regression model. The test compares the conventional F statistic to a critical val…
econ.EM2018★ 2 cited
Limit Theorems for Factor Models
Stanislav Anatolyev, Anna Mikusheva
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed…
econ.EM2018
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Stanislav Anatolyev, Anna Mikusheva
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of…