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   Articles with "linear factor" as a keyword



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Model comparison tests of linear factor models in U.K. stock returns

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recommendations! Published in 2019 at "Finance Research Letters"

DOI: 10.1016/j.frl.2018.05.005

Abstract: This study uses the Bayesian approach of Barillas and Shanken (2018) and the classical approach of Barillas et al. (2018) to conduct model comparison tests of nine linear factor models in U.K. stock returns. The… read more here.

Keywords: linear factor; factor models; models stock; model comparison ... See more keywords

High-dimensional test for alpha in linear factor pricing models with sparse alternatives

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recommendations! Published in 2021 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2021.07.011

Abstract: Abstract We consider the problem of testing for the presence of alpha in Linear Factor Pricing Models. We propose a novel test of the max-of-squares type, which is designed to deal with the high dimensionality… read more here.

Keywords: factor pricing; alpha linear; test; linear factor ... See more keywords
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Identification of the linear factor model

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recommendations! Published in 2019 at "Econometric Reviews"

DOI: 10.1080/07474938.2018.1550042

Abstract: Abstract This paper provides several new results on identification of the linear factor model. The model allows for correlated latent factors and dependence among the idiosyncratic errors. I also illustrate identification under a dedicated measurement… read more here.

Keywords: identification linear; factor model; model; identification ... See more keywords

How Accurate and Consistent Are Score-Based Assessment Decisions? A Procedure Using the Linear Factor Model.

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recommendations! Published in 2022 at "Assessment"

DOI: 10.1177/10731911221113568

Abstract: When scales or tests are used to make decisions about individuals (e.g., to identify which adults should be assessed for psychiatric disorders), it is crucial that these decisions be accurate and consistent. However, it is… read more here.

Keywords: accurate consistent; linear factor; procedure; factor model ... See more keywords
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Random selection of factors preserves the correlation structure in a linear factor model to a high degree

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recommendations! Published in 2018 at "PLoS ONE"

DOI: 10.1371/journal.pone.0206551

Abstract: In a very high-dimensional vector space, two randomly-chosen vectors are almost orthogonal with high probability. Starting from this observation, we develop a statistical factor model, the random factor model, in which factors are chosen stochastically… read more here.

Keywords: factor model; random selection; correlation; linear factor ... See more keywords