Determining the Number of Factors from Empirical Distribution of Eigenvalues
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00043
Reference22 articles.
1. Inferential Theory for Factor Models of Large Dimensions
2. Determining the Number of Factors in Approximate Factor Models
3. A PANIC Attack on Unit Roots and Cointegration
4. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
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