Robust determination for the number of common factors in the approximate factor models
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Publication:1668287
DOI10.1016/j.econlet.2016.04.026zbMath1398.62378MaRDI QIDQ1668287
Publication date: 3 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2016.04.026
eigenvalues; transformation function; approximate factor model; determining the number of factors; dominant factor; robust determination
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis