Eigenvalue ratio test for the number of factors
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Publication:2857587
DOI10.3982/ECTA8968zbMATH Open1274.62403OpenAlexW1593060747MaRDI QIDQ2857587FDOQ2857587
Authors: Seung C. Ahn, Alex R. Horenstein 
Publication date: 4 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta8968
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Factor analysis and principal components; correspondence analysis (62H25) Hypothesis testing in multivariate analysis (62H15)
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- On two-sample mean tests under spiked covariances
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- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- A noisy principal component analysis for forward rate curves
- Transformed contribution ratio test for the number of factors in static approximate factor models
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- Cross-Sectional Dependence in Panel Data Analysis
- On time-varying factor models: estimation and testing
- Large-dimensional factor modeling based on high-frequency observations
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- Identification and estimation of a large factor model with structural instability
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- Simultaneous multiple change-point and factor analysis for high-dimensional time series
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