Eigenvalue difference test for the number of common factors in the approximate factor models
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Publication:1787690
DOI10.1016/j.econlet.2018.05.009zbMath1401.62092OpenAlexW2803975542MaRDI QIDQ1787690
Publication date: 5 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.05.009
times seriesnumber of common factorsapproximate factor modeldominate factorseigenvalue difference test
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
Robust estimation of the number of factors for the pair-elliptical factor models ⋮ A self-reliant projected information criterion for the number of factors ⋮ A criterion for the number of factors ⋮ On determination of the number of factors in an approximate factor model ⋮ Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
Cites Work
- Factor modeling for high-dimensional time series: inference for the number of factors
- Improved penalization for determining the number of factors in approximate factor models
- Identifying the finite dimensionality of curve time series
- Robust determination for the number of common factors in the approximate factor models
- Eigenvalue Ratio Test for the Number of Factors
- Consistently determining the number of factors in multivariate volatility modelling
- Modelling multiple time series via common factors
- Testing Hypotheses About the Number of Factors in Large Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Determining the Number of Factors in Approximate Factor Models
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