Determining the number of global and country-specific factors in the euro area

DOI10.1515/snde-2012-0031zbMath1506.62499OpenAlexW2268960982MaRDI QIDQ5881711

Maximiano Pinheiro, António Rua, Francisco J. O. Dias

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0031

zbMATH Keywords

model selection criteriafactor modelseuro areaglobal factorsgroup-specific factors

Mathematics Subject Classification ID

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

Related Items (4)

Factor models with local factors -- determining the number of relevant factors ⋮ Efficient estimation of approximate factor models via penalized maximum likelihood ⋮ Canonical correlation-based model selection for the multilevel factors ⋮ Multi-level factor analysis of bond risk premia

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