It looks like there's only one paper in this tag, so it's history isn't too exciting,
but you can still check it out below!
This paper studies the principal components estimator for high-dimensional approximate factor models, where the factor loading matrix scales sublinearly with the number of cross-sectional units. The authors show the estimator maintains consistency and asymptotic normality even when factor loadings are weak, complementing existing results that require stronger factors. A...