Estimating the number of common factors in serially dependent approximate factor models (Q694956)
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scientific article; zbMATH DE number 6117222
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| English | Estimating the number of common factors in serially dependent approximate factor models |
scientific article; zbMATH DE number 6117222 |
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Estimating the number of common factors in serially dependent approximate factor models (English)
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19 December 2012
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factor model
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prewhitening
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least squares dummy variable (LSDV) filter
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factor number estimation
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cross-section dependence
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0.8290688991546631
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0.8106012344360352
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0.8009374141693115
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0.7803440093994141
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0.7787432074546814
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