Connor, Gregory and Robert Korajczyk. 1987. "Estimating Pervasive Factors with Missing Observations."

Working paper.

Matlab routine for extracting factors.

RATS routine for extracting factors, balanced panel.

RATS routine for extracting factors, unbalanced panel.

Factor Files.

• 1969-1978
• 1979-1988
• 1989-1998
• 1999-2008