Estimating the number of common factors in serially dependent approximate factor models
DOI10.1016/J.ECONLET.2012.03.031zbMATH Open1253.91129OpenAlexW2034387049MaRDI QIDQ694956FDOQ694956
Authors: Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul 
Publication date: 19 December 2012
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2012.03.031
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factor modelprewhiteningcross-section dependencefactor number estimationleast squares dummy variable (LSDV) filter
Statistical methods; economic indices and measures (91B82) Multisectoral models in economics (91B66)
Cites Work
Cited In (8)
- Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle
- Cross-Sectional Dependence in Panel Data Analysis
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Robust determination for the number of common factors in the approximate factor models
- On the Correlation of Common Factors with Variance Not Accounted for by the Factor Model
- Principal component analysis with autocorrelated data
- Sieve estimation of panel data models with cross section dependence
- Estimation of common factors under cross-sectional and temporal aggregation constraints
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