Estimation and Testing on Panel Data Models with Factor Structure: Theory and Applications

Factor models help economists simplify complex data with a few key variables, crucial for tasks like asset pricing and forecasting. This thesis offers a new approach to estimating factor models with multiple dimensions. It also introduces a new test for the validity of these models. These new methods are then applied to the renewable energy market, studying how traditional energy prices influence clean energy stocks. Overall, this thesis seeks to enhance the tools that distill intricate economic data.