Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
Reference42 articles.
1. Improved penalization for determining the number of factors in approximate factor models
2. Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel
3. Inferential Theory for Factor Models of Large Dimensions
4. Determining the Number of Factors in Approximate Factor Models
5. Determining the Number of Primitive Shocks in Factor Models
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