A criterion for the number of factors

DOI10.1080/03610926.2020.1713376OpenAlexW3010579382MaRDI QIDQ5078906

Ard H. J. den Reijer, Pieter W. Otter, Jan P. A. M. Jacobs

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/10.1080/03610926.2020.1713376

zbMATH Keywords

number of factorsscree teststatic factor model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

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

Cites Work

• Eigenvalue difference test for the number of common factors in the approximate factor models
• Eigenvalue Ratio Test for the Number of Factors
• Determining the Number of Factors in Approximate Factor Models
• Model selection for factor analysis: Some new criteria and performance comparisons

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