Eigenvalue ratio test for the number of factors
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Publication:2857587
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Cited in
(only showing first 100 items - show all)- A high-dimensional test on linear hypothesis of means under a low-dimensional factor model
- On determination of the number of factors in an approximate factor model
- Identifying the number of factors from singular values of a large sample auto-covariance matrix
- A misspecification test for the higher order co-moments of the factor model
- Detecting big structural breaks in large factor models
- Tests for the explanatory power of latent factors
- Large-dimensional factor modeling based on high-frequency observations
- Projected principal component analysis in factor models
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
- A high dimensional two-sample test under a low dimensional factor structure
- Testing for factor loading structural change under common breaks
- Risks of large portfolios
- Recent developments in high dimensional covariance estimation and its related issues, a review
- Bias correction for time series factor models
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimation of Low Rank High-Dimensional Multivariate Linear Models for Multi-Response Data
- Joint inference based on Stein-type averaging estimators in the linear regression model
- Bayesian factor-adjusted sparse regression
- Asymptotic analysis of the squared estimation error in misspecified factor models
- Bi-cross-validation for factor analysis
- On two-sample mean tests under spiked covariances
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Approximate factor models with weaker loadings
- Testing for structural changes in factor models via a nonparametric regression
- Estimation of high dimensional factor model with multiple threshold-type regime shifts
- Parametric estimation of long memory in factor models
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Quantifying noise in survey expectations
- Factor Models for High-Dimensional Tensor Time Series
- Estimation of random coefficients logit demand models with interactive fixed effects
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Government spending and heterogeneous consumption dynamics
- Factor-Adjusted Regularized Model Selection
- Projected estimation for large-dimensional matrix factor models
- Embracing the blessing of dimensionality in factor models
- Determining the number of factors in approximate factor models by twice K-fold cross validation
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Rank determination in tensor factor model
- Cross-Sectional Dependence in Panel Data Analysis
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- On factor models with random missing: EM estimation, inference, and cross validation
- High dimensional minimum variance portfolio estimation under statistical factor models
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- Estimating and testing high dimensional factor models with multiple structural changes
- An Eigenvalue Ratio Approach to Inferring Population Structure from Whole Genome Sequencing Data
- On the determination of the number of factors using information criteria with data-driven penalty
- A noisy principal component analysis for forward rate curves
- On time-varying factor models: estimation and testing
- Spatial dynamic panel data models with interactive fixed effects
- A Behrens-Fisher problem for general factor models in high dimensions
- Analyzing business cycle asymmetries in a multi-level factor model
- Estimating the common break date in large factor models
- Factor models with local factors -- determining the number of relevant factors
- Determining the number of factors when the number of factors can increase with sample size
- Identification and estimation of a large factor model with structural instability
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Robust determination for the number of common factors in the approximate factor models
- Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
- Factor-adjusted multiple testing of correlations
- A rank test for the number of factors with high-frequency data
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- A multi-step procedure to determine the number of factors in large approximate factor models
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
- Farmtest: factor-adjusted robust multiple testing with approximate false discovery control
- Sufficient forecasting using factor models
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Robust factor number specification for large-dimensional elliptical factor model
- Post-processed posteriors for sparse covariances
- Comparing forecasting performance in cross-sections
- Inference in High-Dimensional Multivariate Response Regression with Hidden Variables
- A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
- Determining the number of factors with potentially strong within-block correlations in error terms
- Estimating change-point latent factor models for high-dimensional time series
- Nonstationary fractionally integrated functional time series
- Cross-section bootstrap for CCE regressions
- Determining the number of factors in constrained factor models via Bayesian information criterion
- An estimation of the number of primary factors based on residual matrix variance ratio
- Circularly Projected Common Factors for Grouped Data
- High-dimensional overdispersed generalized factor model with application to single-cell sequencing data analysis
- Multivariate spatiotemporal models with low rank coefficient matrix
- Reprint of: The likelihood ratio test for structural changes in factor models
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Target PCA: transfer learning large dimensional panel data
- A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
- Using sufficient direction factor model to analyze latent activities associated with breast cancer survival
- Equality tests of covariance matrices under a low-dimensional factor structure
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- The likelihood ratio test for structural changes in factor models
- Vertex Nomination Between Graphs via Spectral Embedding and Quadratic Programming
- Estimation of Sparsity-Induced Weak Factor Models
- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Sequential testing for structural stability in approximate factor models
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
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