Determining the number of factors when the number of factors can increase with sample size

DOI10.1016/j.jeconom.2016.06.003zbMath1443.62487OpenAlexW2303391210MaRDI QIDQ506051

Yutang Shi, Q. Li, Hong Jun Li

Publication date: 30 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.06.003

zbMATH Keywords

factor analysisprincipal componentsinformation criteriaincreasing number of factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (17)

Estimating Number of Factors by Adjusted Eigenvalues Thresholding ⋮ Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors ⋮ Rank determination in tensor factor model ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ Efficient estimation of heterogeneous coefficients in panel data models with common shocks ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Shrinkage estimation of multiple threshold factor models ⋮ On determination of the number of factors in an approximate factor model ⋮ Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS ⋮ Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects ⋮ Determination of vector error correction models in high dimensions ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• High-dimensional covariance matrix estimation in approximate factor models
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• Eigenvalue Ratio Test for the Number of Factors
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• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
• Determining the Number of Factors in the General Dynamic Factor Model
• Determining the Number of Factors in Approximate Factor Models
• Some Comments on C P
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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