Improved penalization for determining the number of factors in approximate factor models
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference9 articles.
1. Determining the number of factors in approximate factor models;Bai;Econometrica,2002
2. The scree test for the number of factors;Cattell;Multivariate Behavioral Research,1966
3. Asset pricing with a factor-ARCH covariance structure: empirical estimates for treasury bills;Engle;Journal of Econometrics,1990
4. Opening the black box: structural factor models versus structural VARs;Forni;Econometric Theory,2009
5. The generalized dynamic factor model: identification and estimation;Forni;The Review of Economics and Statistics,2000
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