Long-History Principal Component Analysis in a Dynamic Factor Model with Weak Loadings

The authors thank Jeffrey Bohn, Young Ho Eom, Lisa Goldberg, Markus Pelger, Raman Uppal, and seminar participants at 2023 Financial Management Association Annual Meeting, the INFORMS Annual Meeting 2024, Korea University Business School, Southwestern University of Finance and Economics, the University of California Berkeley, University of Oxford Saïd Business School, and Yonsei University Business School for many valuable comments. B. Kim gratefully acknowledges that a significant portion of this work was completed while he was a visiting scholar at the University of California, Berkeley.