{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,2]],"date-time":"2026-09-02T00:50:36Z","timestamp":1788310236077,"version":"build-2803163510"},"reference-count":36,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2021,8,5]],"date-time":"2021-08-05T00:00:00Z","timestamp":1628121600000},"content-version":"vor","delay-in-days":4,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2021,8]]},"abstract":"<jats:title>Abstract<\/jats:title>\n                  <jats:p>This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The estimator is based on the number of statistically significant factor loadings, taking multiple testing into account. Both cases of observed and unobserved factors are considered. The small sample properties of the proposed estimator are investigated using Monte Carlo experiments. It is shown that the proposed estimation and inference procedures perform well and have excellent power properties, especially when the factor strength is sufficiently high. Empirical applications to factor models for asset returns show that out of 146 factors recently considered in the finance literature, only the market factor is truly strong, while all other factors are at best semi\u2010strong, with their strength varying considerably over time. Similarly, we only find evidence of semi\u2010strong factors using a large number of US macroeconomic indicators.<\/jats:p>","DOI":"10.1002\/jae.2830","type":"journal-article","created":{"date-parts":[[2021,5,29]],"date-time":"2021-05-29T08:33:07Z","timestamp":1622277187000},"page":"587-613","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":41,"title":["Measurement of factor strength: Theory and practice"],"prefix":"10.1002","volume":"36","author":[{"given":"Natalia","family":"Bailey","sequence":"first","affiliation":[{"name":"Department of Econometrics and Business Statistics Monash University  Melbourne Victoria Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"George","family":"Kapetanios","sequence":"additional","affiliation":[{"name":"Department of Banking &amp; Finance King's Business School, King's College  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"M. Hashem","family":"Pesaran","sequence":"additional","affiliation":[{"name":"Department of Economics University of Southern California  Los Angeles California"},{"name":"Trinity College University of Cambridge  Cambridge UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,8,5]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9623"},{"key":"e_1_2_10_3_1","doi-asserted-by":"crossref","unstructured":"Anatolyev S. &Mikusheva A.(2021).Factor models with many assets: Strong factors weak factors and the two\u2010pass procedure.Journal of Econometrics forthcoming.","DOI":"10.1016\/j.jeconom.2021.01.002"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00210"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2476"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s13571-019-00196-9"},{"key":"e_1_2_10_9_1","doi-asserted-by":"crossref","unstructured":"Belloni A. Chrenozhukov V. &Hansen C.(2011).Inference for high\u2010dimensional sparse econometric models. In Advances in Economics and Econometrics 10th World Congress of Econometric Society 2011.","DOI":"10.1920\/wp.cem.2011.4111"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA14176"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00330.x"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.02.012"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/260061"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12883"},{"key":"e_1_2_10_16_1","doi-asserted-by":"crossref","unstructured":"Freyaldenhoven S.(2021). Factor models with local factors \u2010 Determining the number of relevant factors.Journal of Econometrics forthcoming.","DOI":"10.21799\/frbp.wp.2021.15"},{"key":"e_1_2_10_17_1","doi-asserted-by":"crossref","unstructured":"Giannone D. Lenza M. &Primiceri G. E.(2021).Economic predictions with large data: The illusion of sparsity.Econometrica forthcoming.","DOI":"10.2139\/ssrn.3835164"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913625"},{"key":"e_1_2_10_19_1","doi-asserted-by":"crossref","unstructured":"Harvey C. R. &Liu Y.(2019).A census of the factor zoo. Available at SSRN:https:\/\/ssrn.com\/abstract=3341728orhttps:\/\/doi.org\/10.2139\/ssrn.3341728","DOI":"10.2139\/ssrn.3341728"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1201\/b18401"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02289233"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.05.001"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.01.013"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.08.012"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1924119"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1086655"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.01.034"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780198736912.001.0001"},{"key":"e_1_2_10_29_1","doi-asserted-by":"crossref","unstructured":"Pesaran M. H. &Smith R.(2021). Factor strengths pricing errors and estimation of risk premia.CESifo Working paper no. 8947.","DOI":"10.2139\/ssrn.3807010"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.03.014"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2015.1100620"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90009-5"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(76)90046-6"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1964.tb02865.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_10_36_1","doi-asserted-by":"crossref","unstructured":"Stock J. H. &Watson M. W.(2012).Disentangling the channels of the 2007\u20132009 recession. InBrookings Papers on Economic Activity(pp.81\u2013135). The Brookings Institution Washington DC.","DOI":"10.1353\/eca.2012.0005"},{"key":"e_1_2_10_37_1","doi-asserted-by":"crossref","unstructured":"Uematsu Y. &Yamagata T.(2019).Estimation of weak factor models. ISER Discussion Paper no1053\u00a0(revised September 2020).","DOI":"10.2139\/ssrn.3374750"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2830","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2830","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2830","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,25]],"date-time":"2023-08-25T11:51:47Z","timestamp":1692964307000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2830"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,8]]},"references-count":36,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2021,8]]}},"alternative-id":["10.1002\/jae.2830"],"URL":"https:\/\/doi.org\/10.1002\/jae.2830","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,8]]},"assertion":[{"value":"2020-03-09","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-12-28","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-08-05","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}