Testing Hypotheses About the Number of Factors in Large Factor Models
Publication:3653231
DOI10.3982/ECTA6964zbMath1182.62180OpenAlexW1960920821MaRDI QIDQ3653231
Publication date: 21 December 2009
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta6964
hypothesis testTracy-Widom distributionnumber of factorsgeneralized dynamic factor modelapproximate factor model
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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