On the determination of the number of factors using information criteria with data-driven penalty
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Publication:513695
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
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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