Estimating the number of common factors in serially dependent approximate factor models

DOI10.1016/j.econlet.2012.03.031zbMath1253.91129OpenAlexW2034387049MaRDI QIDQ694956

Donggyu Sul, Ryan Greenaway-McGrevy, Chirok Han

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.03.031

zbMATH Keywords

factor modelprewhiteningcross-section dependencefactor number estimationleast squares dummy variable (LSDV) filter

Mathematics Subject Classification ID

Multisectoral models in economics (91B66) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Principal component analysis with autocorrelated data ⋮ Parameter cascading for panel models with unknown number of unobserved factors: an application to the credit spread puzzle ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ Sieve estimation of panel data models with cross section dependence

Cites Work

• Determining the Number of Factors in the General Dynamic Factor Model
• Determining the Number of Factors in Approximate Factor Models

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