Eigenvalue difference test for the number of common factors in the approximate factor models

DOI10.1016/j.econlet.2018.05.009zbMath1401.62092OpenAlexW2803975542MaRDI QIDQ1787690

Yanyan Li

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.05.009

zbMATH Keywords

times seriesnumber of common factorsapproximate factor modeldominate factorseigenvalue difference test

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Robust estimation of the number of factors for the pair-elliptical factor models ⋮ A self-reliant projected information criterion for the number of factors ⋮ A criterion for the number of factors ⋮ On determination of the number of factors in an approximate factor model ⋮ Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance

Cites Work

• Factor modeling for high-dimensional time series: inference for the number of factors
• Improved penalization for determining the number of factors in approximate factor models
• Identifying the finite dimensionality of curve time series
• Robust determination for the number of common factors in the approximate factor models
• Eigenvalue Ratio Test for the Number of Factors
• Consistently determining the number of factors in multivariate volatility modelling
• Modelling multiple time series via common factors
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Determining the Number of Factors in Approximate Factor Models

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