Testing hypotheses about the number of factors in large factor models
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Publication:3653231
DOI10.3982/ECTA6964zbMATH Open1182.62180OpenAlexW1960920821MaRDI QIDQ3653231FDOQ3653231
Authors: Alexei Onatski 
Publication date: 21 December 2009
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta6964
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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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- On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices
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- Determining the number of factors in the general dynamic factor model
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- Evaluating latent and observed factors in macroeconomics and finance
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- Factor analysis of correlation matrices when the number of random variables exceeds the sample size
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- An Eigenvalue Ratio Approach to Inferring Population Structure from Whole Genome Sequencing Data
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- Inferential theory for generalized dynamic factor models
- An Algebraic Estimator for Large Spectral Density Matrices
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