On determination of the number of factors in an approximate factor model
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Publication:6138244
DOI10.1515/SNDE-2020-0055MaRDI QIDQ6138244
Qiang Xia, Jin-Shan Liu, Li Xiao, Jiazhu Pan
Publication date: 5 September 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
number of factorseigenvalue ratioapproximate factor modelcumulative contribution rateridge-type method
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Factor modeling for high-dimensional time series: inference for the number of factors
- Determining the number of factors when the number of factors can increase with sample size
- Improved penalization for determining the number of factors in approximate factor models
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Robust determination for the number of common factors in the approximate factor models
- Determining the number of factors for high-dimensional time series
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Eigenvalue Ratio Test for the Number of Factors
- Consistently determining the number of factors in multivariate volatility modelling
- Factor Modelling for High-Dimensional Time Series: Inference and Model Selection
- Estimation of latent factors for high-dimensional time series
- Determining the number of factors in a multivariate error correction-volatility factor model
- Modelling multiple time series via common factors
- Testing Hypotheses About the Number of Factors in Large Factor Models
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- 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
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