Testing Hypotheses About the Number of Factors in Large Factor Models
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Publication:3653231
DOI10.3982/ECTA6964zbMath1182.62180MaRDI QIDQ3653231
Publication date: 21 December 2009
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta6964
hypothesis test; Tracy-Widom distribution; number of factors; generalized dynamic factor model; approximate factor model
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H15: Hypothesis testing in multivariate analysis
62M15: Inference from stochastic processes and spectral analysis
65C05: Monte Carlo methods
91B84: Economic time series analysis
62M07: Non-Markovian processes: hypothesis testing
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