Frequency-Band Estimation of the Number of Factors
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Cites work
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Are more data always better for factor analysis?
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factors in the presence of blocks
- Eigenvalue ratio test for the number of factors
- Estimating latent asset-pricing factors
- Forecasting Using Principal Components From a Large Number of Predictors
- FRED-MD: A Monthly Database for Macroeconomic Research
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Generalized dynamic factor models and volatilities: estimation and forecasting
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Quantifying confidence
- Testing hypotheses about the number of factors in large factor models
- The Generalized Dynamic Factor Model
- The Impact of Uncertainty Shocks
- Time to Build and Aggregate Fluctuations
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