Determining the number of factors with potentially strong within-block correlations in error terms

DOI10.1080/07474938.2017.1307599MaRDI QIDQ5864656zbMATH OpenOpenAlexFDO

Authors X. Han, Mehmet Caner

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2017.1307599

zbMATH Keywords

model selectionfactor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3954063 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Are more data always better for factor analysis?
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic factors in the presence of blocks
• Eigenvalue ratio test for the number of factors
• Forecasting in dynamic factor models subject to structural instability
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Improved penalization for determining the number of factors in approximate factor models
• Inferential Theory for Factor Models of Large Dimensions
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(3)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Econometric Reviews honors Esfandiar Maasoumi
• Factor models with local factors -- determining the number of relevant factors

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