| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062027 | Economics Letters | 2008 | 4 Pages |
Abstract
This paper shows that in finite samples it is not possible to distinguish all the latent factors from the idiosyncratic noise and that this leads to a bias towards the identification of a single factor. It provides an approximation to this bias and the corresponding sampling distribution.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Matthew C. Harding,