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econ.EM2025
Inferential Theory for Pricing Errors with Latent Factors and Firm Characteristics
Jungjun Choi, Ming Yuan
We study factor models that combine latent factors with firm characteristics and propose a new framework for modeling, estimating, and inferring pricing errors. Following Zhang (20…
econ.EM2024★ 1 cited
High Dimensional Factor Analysis with Weak Factors
Jungjun Choi, Ming Yuan
This paper studies the principal components (PC) estimator for high dimensional approximate factor models with weak factors in that the factor loading () scales sub…
econ.EM2023
Inference for Low-rank Models without Estimating the Rank
Jungjun Choi, Hyukjun Kwon, Yuan Liao
This paper studies the inference about linear functionals of high-dimensional low-rank matrices. While most existing inference methods would require consistent estimation of the tr…