Transformed contribution ratio test for the number of factors in static approximate factor models (Q1654280): Difference between revisions

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+https://doi.org/10.1016/j.csda.2017.03.005
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+W2601801618
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@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
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+Improved penalization for determining the number of factors in approximate factor models
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+Determining the Number of Factors in Approximate Factor Models
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Factor modeling for high-dimensional time series: inference for the number of factors
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+Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models
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+Testing Hypotheses About the Number of Factors in Large Factor Models
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+Modelling multiple time series via common factors
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Consistently determining the number of factors in multivariate volatility modelling
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+Publication:1654280