Determining the Number of Factors in the General Dynamic Factor Model
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Cited in
(only showing first 100 items - show all)- Bi-cross-validation for factor analysis
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
- Choosing a dynamic common factor as a coincident index
- Factor-Adjusted Regularized Model Selection
- Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Recent developments in high dimensional covariance estimation and its related issues, a review
- Robust determination for the number of common factors in the approximate factor models
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
- Factor models for matrix-valued high-dimensional time series
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Estimation of large dimensional factor models with an unknown number of breaks
- Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Robust factor number specification for large-dimensional elliptical factor model
- On factor models with random missing: EM estimation, inference, and cross validation
- A wavelet method for panel models with jump discontinuities in the parameters
- Nowcasting real GDP for Saudi Arabia
- A spatial panel quantile model with unobserved heterogeneity
- Preprocessing noisy functional data: a multivariate perspective
- Poisson reduced-rank models with sparse loadings
- Rank determination in tensor factor model
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Government spending and heterogeneous consumption dynamics
- Nonlinear factor models for network and panel data
- Testing for international business cycles: a multilevel factor model with stochastic factor selection
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Threshold factor models for high-dimensional time series
- A diagnostic criterion for approximate factor structure
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- Tests for overidentifying restrictions in factor-augmented VAR models
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- On the Marčenko-Pastur law for linear time series
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Inferences in panel data with interactive effects using large covariance matrices
- Factor models in high-dimensional time series: A time-domain approach
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Time-varying general dynamic factor models and the measurement of financial connectedness
- Autoencoder asset pricing models
- Determining the number of breaks in large dimensional factor models with structural changes
- Factor models with local factors -- determining the number of relevant factors
- A semiparametric factor model for CDO surfaces dynamics
- Canonical correlation-based model selection for the multilevel factors
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Asymptotic conditional singular value decomposition for high-dimensional genomic data
- Model selection for generalized linear models with factor-augmented predictors
- scientific article; zbMATH DE number 992982 (Why is no real title available?)
- Estimating factor models for multivariate volatilities: an innovation expansion method
- Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
- Testing hypotheses about the number of factors in large factor models
- Factor modeling for high-dimensional time series: inference for the number of factors
- Dynamic factor long memory volatility
- Dissecting the financial cycle with dynamic factor models
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- A randomized sequential procedure to determine the number of factors
- Diffusion index model specification and estimation using mixed frequency datasets
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
- High dimensional mean-variance optimization through factor analysis
- Modeling and forecasting daily electricity load curves: a hybrid approach
- Prediction of singular VARs and an application to generalized dynamic factor models
- Determining the number of factors when the number of factors can increase with sample size
- Least squares estimation of large dimensional threshold factor models
- A self-reliant projected information criterion for the number of factors
- A multi-step procedure to determine the number of factors in large approximate factor models
- Cross-Sectional Dependence in Panel Data Analysis
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- On the determination of the number of factors using information criteria with data-driven penalty
- Determining the number of factors in the general dynamic factor model
- Forecasting multiple time series with one-sided dynamic principal components
- Factor and Idiosyncratic Empirical Processes
- Penalized least squares estimation with weakly dependent data
- Determining the Number of Factors in Approximate Factor Models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Model selection for factor analysis: some new criteria and performance comparisons
- Determining the number of factors with potentially strong within-block correlations in error terms
- Dynamic factor structure of team performances in Liga MX
- Factor Models for High-Dimensional Tensor Time Series
- Determining the number of global and country-specific factors in the euro area
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Projected principal component analysis in factor models
- Shrinkage quantile regression for panel data with multiple structural breaks
- Robust factor models for high-dimensional time series and their forecasting
- Improved penalization for determining the number of factors in approximate factor models
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- On determination of the number of factors in an approximate factor model
- VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS
- Inferential theory for generalized dynamic factor models
- An Algebraic Estimator for Large Spectral Density Matrices
- Factor modeling of multivariate time series: a frequency components approach
- On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices
- Ridge Regression Under Dense Factor Augmented Models
- Non-fundamentalness in structural econometric models: a review
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
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