10 citations · 12 across the 4 of their papers we have counts for
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econ.EM2023
Latent Factor Analysis in Short Panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
We develop a pseudo maximum likelihood method for latent factor analysis in short panels without imposing sphericity nor Gaussianity. We derive an asymptotically uniformly most pow…
econ.EM2022★ 10 cited
Eigenvalue tests for the number of latent factors in short panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of varianc…