A self-reliant projected information criterion for the number of factors
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Publication:5077197
DOI10.1080/03610926.2019.1576889OpenAlexW2916703211MaRDI QIDQ5077197
Publication date: 18 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1576889
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Cites Work
- On the role of the rank condition in CCE estimation of factor-augmented panel regressions
- Improved penalization for determining the number of factors in approximate factor models
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Eigenvalue Ratio Test for the Number of Factors
- Forecasting Using Principal Components From a Large Number of Predictors
- Determining the Number of Factors in the General Dynamic Factor Model
- Determining the Number of Factors in Approximate Factor Models
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Projected principal component analysis in factor models
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