A multi-step procedure to determine the number of factors in large approximate factor models

DOI10.1080/03610926.2019.1710752OpenAlexW3001974903MaRDI QIDQ5078883

Jiakun Jiang, Chengliang Yan, Yue Ding, Wei Lan, Ronghua Luo

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1710752

zbMATH Keywords

multi-step procedureapproximate factor modelsfactor numbereigenvalue ratio criterion

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Identification and estimation of a large factor model with structural instability
• Testing covariates in high-dimensional regression
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Determining the number of factors for high-dimensional time series
• On time-varying factor models: estimation and testing
• Eigenvalue Ratio Test for the Number of Factors
• Factor profiled sure independence screening
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Determining the Number of Factors in the General Dynamic Factor Model
• Expandable factor analysis
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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