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)- On determination of the number of factors in an approximate factor model
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Estimation of high dimensional factor model with multiple threshold-type regime shifts
- Binary response models for heterogeneous panel data with interactive fixed effects
- Post-processed posteriors for sparse covariances
- A high-dimensional test for multivariate analysis of variance under a low-dimensional factor structure
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Long Memory Factor Model: On Estimation of Factor Memories
- Grouped spatial autoregressive model
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- A random-perturbation-based rank estimator of the number of factors
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
- Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
- Are Latent Factor Regression and Sparse Regression Adequate?
- A Behrens-Fisher problem for general factor models in high dimensions
- Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
- Autoencoder asset pricing models
- Detecting granular time series in large panels
- Nonlinear factor models for network and panel data
- On factor models with random missing: EM estimation, inference, and cross validation
- Simultaneous Decorrelation of Matrix Time Series
- Testing for structural changes in factor models via a nonparametric regression
- Factor-augmented Model for Functional Data
- Estimation of random coefficients logit demand models with interactive fixed effects
- Inferences in panel data with interactive effects using large covariance matrices
- Vertex Nomination Between Graphs via Spectral Embedding and Quadratic Programming
- Rank determination in tensor factor model
- Circularly Projected Common Factors for Grouped Data
- A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
- Estimating and testing high dimensional factor models with multiple structural changes
- IPAD: stable interpretable forecasting with knockoffs inference
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- Deterministic parallel analysis: an improved method for selecting factors and principal components
- A method to evaluate the rank condition for CCE estimators
- On two-sample mean tests under spiked covariances
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Decomposition of Variation of Mixed Variables by a Latent Mixed Gaussian Copula Model
- A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
- Determining the number of factors with potentially strong within-block correlations in error terms
- A robust procedure to build dynamic factor models with cluster structure
- Time series models for realized covariance matrices based on the matrix-F distribution
- Dynamic factor structure of team performances in Liga MX
- A self-reliant projected information criterion for the number of factors
- Estimating latent asset-pricing factors
- Adaptive estimation in multivariate response regression with hidden variables
- High dimensional minimum variance portfolio estimation under statistical factor models
- Estimation of Sparsity-Induced Weak Factor Models
- Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
- Panel threshold models with interactive fixed effects
- High-Dimensional Factor Regression for Heterogeneous Subpopulations
- Time varying factor models with possibly strongly correlated noises
- Factor models with local factors -- determining the number of relevant factors
- A randomized sequential procedure to determine the number of factors
- Embracing the blessing of dimensionality in factor models
- A rank test for the number of factors with high-frequency data
- Robust factor number specification for large-dimensional elliptical factor model
- Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
- Bayesian factor-adjusted sparse regression
- Inference in latent factor regression with clusterable features
- Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
- Using sufficient direction factor model to analyze latent activities associated with breast cancer survival
- Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
- Tests for the explanatory power of latent factors
- Comment on “Factor Models for High-Dimensional Tensor Time Series”
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- A multi-step procedure to determine the number of factors in large approximate factor models
- Determining the number of factors in constrained factor models via Bayesian information criterion
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Estimation of Low Rank High-Dimensional Multivariate Linear Models for Multi-Response Data
- 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
- Testing for Common Trends in Nonstationary Large Datasets
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Smart Alpha: active management with unstable and latent factors
- Robust high-dimensional factor models with applications to statistical machine learning
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- On time-varying factor models: estimation and testing
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
- Large-dimensional factor modeling based on high-frequency observations
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Cross-Sectional Dependence in Panel Data Analysis
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Robust estimation of the number of factors for the pair-elliptical factor models
- Testing the eigenvalue structure of spot and integrated covariance
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Recent developments in high dimensional covariance estimation and its related issues, a review
- Determining the number of factors in approximate factor models by twice K-fold cross validation
- A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data
- Detecting big structural breaks in large factor models
- The likelihood ratio test for structural changes in 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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