因子模型及其在计量经济学学习中应用的最新研究进展, 2万字顶刊综述

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Jianqing Fan, Kunpeng Li, Yuan Liao, 2021, Recent Developments on Factor Models and its Applications in Econometric Learning, Annual Review of Economics, Vol. 13:401-430.

This paper makes a selective survey on the recent development of the factor model and its application on statistical learnings. We focus on the perspective of the low-rank structure of factor models, and particularly draws attentions to estimating the model from the low-rank recovery point of view. The survey mainly consists of three parts: the first part is a review on new factor estimations based on modern techniques on recovering low-rank structures of high-dimensional models. The second part discusses statistical inferences of several factor-augmented models and applications in econometric learning models. The final part summarizes new developments dealing with unbalanced panels from the matrix completion perspective.