Estimating the number of common factors in serially dependent approximate factor models

DOI10.1016/J.ECONLET.2012.03.031MaRDI QIDQ694956zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelprewhiteningcross-section dependencefactor number estimationleast squares dummy variable (LSDV) filter

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Multisectoral models in economics (91B66)

Recommendations

• 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
• Determining the Number of Factors in Approximate Factor Models
• Determining the number of factors when the number of factors can increase with sample size
• On the number of common factors with high-frequency data

Cites work

• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model

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
• Sieve estimation of panel data models with cross section dependence
• Principal component analysis with autocorrelated data
• Estimation of common factors under cross-sectional and temporal aggregation constraints

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