The RATS Software Forum

Anyone has the code for the PCA used by Connor, G. and Korajczyk, R. "Risk and Return in an Equilibrium APT: Application of a New Test
Methodology." Journal of Financial Economics. 21(2), 255-289. Many Thanks

Some code is available at: http://www.kellogg.northwestern.edu/fac ... E1988.html

rak wrote:Some code is available at: http://www.kellogg.northwestern.edu/fac ... E1988.html

Thank you so much for sharing the code