Eigenvalue difference test for the number of common factors in the approximate factor models
type: Item
instance of: scholarly article
title: Eigenvalue difference test for the number of common factors in the approximate factor models
zbMATH Open document ID: 1401.62092
author: Yanyan Li
published in: Economics Letters
publication date: 2018-10-05T00:00:00Z
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6947813
zbMATH Keywords: approximate factor model
zbMATH Keywords: dominate factors
zbMATH Keywords: eigenvalue difference test
zbMATH Keywords: number of common factors
zbMATH Keywords: times series
MaRDI profile type: Publication
full work available at URL: j.econlet.2018.05.009
OpenAlex ID: W2803975542
cites work: Eigenvalue ratio test for the number of factors
cites work: Improved penalization for determining the number of factors in approximate factor models
cites work: Determining the Number of Factors in Approximate Factor Models
cites work: Identifying the finite dimensionality of curve time series
cites work: Determining the Number of Factors in the General Dynamic Factor Model
cites work: Factor modeling for high-dimensional time series: inference for the number of factors
cites work: Testing Hypotheses About the Number of Factors in Large Factor Models
cites work: Modelling multiple time series via common factors
cites work: Robust determination for the number of common factors in the approximate factor models
cites work: Consistently determining the number of factors in multivariate volatility modelling
DOI: 10.1016/J.ECONLET.2018.05.009
Wikidata QID: Q129776873
description: scientific article; zbMATH DE number 6947813