Testing Hypotheses About the Number of Factors in Large Factor Models

DOI10.3982/ECTA6964zbMath1182.62180OpenAlexW1960920821MaRDI QIDQ3653231

Alexei Onatski

Publication date: 21 December 2009

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta6964

zbMATH Keywords

hypothesis testTracy-Widom distributionnumber of factorsgeneralized dynamic factor modelapproximate factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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