Determining the Number of Factors in Static Approximate Factor Models Using Discrete Fourier Transforms and Pseudo-Eigenvalues
Author:
Affiliation:
1. Department of Mathematics, Statistics, and Computer Science , Purdue University Northwest , 2200 169th St. , Hammond , IN 46323-2094 , USA
2. School of Mathematics and Science , Shanghai Normal University, Shanghai , Shanghai , China
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),General Business, Management and Accounting
Link
https://www.degruyter.com/document/doi/10.1515/jbnst-2019-0056/pdf
Reference22 articles.
1. Ahn, S.C., A.R. Horenstein (2013), Eigenvalue Ratio Test for the Number of Factors. Econometrica 81: 1203–1227.
2. Alessi, L., M. Barigozzi, M. Capasso (2010), Improved Penalization for Determining the Number of Factors in Approximate Factor Models. Statistics and Probability Letters 80: 1806–1813.
3. Amengual, D., M. Watson (2007), Consistent Estimation of the Number of Dynamic Factors in A large n and t Panel. Journal of Business & Economic Statistics 25: 91–96.
4. Bai, J., S. Ng (2002), Determining the Number of Factors in Approximate Factor Models. Econometrica 70: 191–221.
5. Bai, J., S. Ng (2007), Determining the Number of Primitive Shocks in Factor Models. Journal of Business & Economic Statistics 25: 52–60.
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