Determining the Number of Factors in Approximate Factor Models

DOI10.1111/1468-0262.00273zbMath1103.91399MaRDI QIDQ5474964

Serena Ng, Jushan Bai

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://fmwww.bc.edu/EC-P/wp440.pdf

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

91B82: Statistical methods; economic indices and measures

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