Testing hypotheses about the number of factors in large factor models
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Publication:3653231
hypothesis testTracy-Widom distributionnumber of factorsgeneralized dynamic factor modelapproximate factor model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)
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