On the determination of the number of factors using information criteria with data-driven penalty

DOI10.1007/s00362-015-0692-0zbMath1394.62081OpenAlexW588211006MaRDI QIDQ513695

Joakim Westerlund, Sagarika Mishra

Publication date: 7 March 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-015-0692-0

zbMATH Keywords

panel datainformation criterioncommon factor modeldata-driven penaltyprocedure for selecting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Factor models for high‐dimensional functional time series II: Estimation and forecasting ⋮ Panel stationary tests against changes in persistence

Cites Work

• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• Improved penalization for determining the number of factors in approximate factor models
• Testing for structural breaks in dynamic factor models
• Eigenvalue Ratio Test for the Number of Factors
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Determining the Number of Factors in the General Dynamic Factor Model
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Factor analysis regression

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