On the determination of the number of factors using information criteria with data-driven penalty
type: Item
instance of: scholarly article
title: On the determination of the number of factors using information criteria with data-driven penalty
zbMATH Open document ID: 1394.62081
author: Joakim Westerlund
author: Sagarika Mishra
published in: Statistical Papers
publication date: 2017-03-07T00:00:00Z
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6692588
zbMATH Keywords: panel data
zbMATH Keywords: common factor model
zbMATH Keywords: information criterion
zbMATH Keywords: data-driven penalty
zbMATH Keywords: procedure for selecting
MaRDI profile type: Publication
full work available at URL: s00362-015-0692-0
OpenAlex ID: W588211006
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cites work: Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
DOI: 10.1007/S00362-015-0692-0
description: scientific article; zbMATH DE number 6692588