Estimating the number of common factors in serially dependent approximate factor models
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Publication:694956
DOI10.1016/j.econlet.2012.03.031zbMath1253.91129MaRDI QIDQ694956
Donggyu Sul, Ryan Greenaway-McGrevy, Chirok Han
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
factor model; prewhitening; cross-section dependence; factor number estimation; least squares dummy variable (LSDV) filter
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