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Figure 1. Adjusted R-squared from regressing the true factors on the estimates.
Figure 3. N = 100, T = 200. Interval estimates of the factors: two SE error bands.
Figure 4. N = 100, T = 200. Interval estimates of the factors under DFM2.
Figure 5. N = 50, T = 200. Interval estimates of the factors: two SE error bands.
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