A self-reliant projected information criterion for the number of factors

DOI10.1080/03610926.2019.1576889MaRDI QIDQ5077197zbMATH OpenOpenAlexFDO

Authors Mingjing Chen

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1576889

zbMATH Keywords

eigen ratiofactorgrowth ratioinformation criterionprojected PCA

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Eigenvalue difference test for the number of common factors in the approximate factor models
• Eigenvalue ratio test for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• Improved penalization for determining the number of factors in approximate factor models
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• On the role of the rank condition in CCE estimation of factor-augmented panel regressions
• Projected principal component analysis in factor models

Cited in

(4)

• Tests for the explanatory power of latent factors
• Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
• F-test and z-test for high-dimensional regression models with a factor structure
• Projected principal component analysis in factor models

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