Transformed contribution ratio test for the number of factors in static approximate factor models

DOI10.1016/j.csda.2017.03.005zbMath1464.62187MaRDI QIDQ1654280

Y. Aharonov

Publication date: 7 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.03.005

zbMATH Keywords

eigenvalues; number of factors; approximate factor model; transformed contribution ratio

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H15: Hypothesis testing in multivariate analysis