Estimating the number of common factors in serially dependent approximate factor models
type: Item
instance of: scholarly article
title: Estimating the number of common factors in serially dependent approximate factor models
zbMATH Open document ID: 1253.91129
author: Ryan Greenaway-McGrevy
author: Chirok Han
author: Donggyu Sul
published in: Economics Letters
publication date: 2012-12-19T00:00:00Z
Mathematics Subject Classification ID: 91B66
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6117222
zbMATH Keywords: factor model
zbMATH Keywords: prewhitening
zbMATH Keywords: least squares dummy variable (LSDV) filter
zbMATH Keywords: factor number estimation
zbMATH Keywords: cross-section dependence
MaRDI profile type: Publication
full work available at URL: j.econlet.2012.03.031
OpenAlex ID: W2034387049
cites work: Determining the Number of Factors in Approximate Factor Models
cites work: Determining the Number of Factors in the General Dynamic Factor Model
DOI: 10.1016/J.ECONLET.2012.03.031
description: scientific article; zbMATH DE number 6117222