Unified inference for nonlinear factor models from panels with fixed and large time span
固定与大时间跨度面板中非线性因子模型的统一推断
We provide unifying inference theory for parametric nonlinear factor models based on a panel of noisy observations. The panel has a large cross-section and a time span that may be either small or large. Moreover, we incorporate an additional source of information, provided by noisy observations on some known functions of the factor realizations. The estimation is carried out via penalized least squares, i.e., by minimizing the L2 distance between observations from the panel…