Establishes asymptotic consistency of factor estimates and √T-normality in factor-augmented regressions for fixed R ≥ r using anisotropic local laws from random matrix theory.
Econometrica , volume=
2 Pith papers cite this work. Polarity classification is still indexing.
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MF-SCM constructs synthetic control weights from mixed-frequency data, proves the estimator achieves the lowest possible squared prediction error among averaging methods, and derives asymptotic inference for the average treatment effect.
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Fixed-order PCA: Theory for Overestimated Factor Models
Establishes asymptotic consistency of factor estimates and √T-normality in factor-augmented regressions for fixed R ≥ r using anisotropic local laws from random matrix theory.
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Synthetic Control Method with Mixed Frequency Data
MF-SCM constructs synthetic control weights from mixed-frequency data, proves the estimator achieves the lowest possible squared prediction error among averaging methods, and derives asymptotic inference for the average treatment effect.