Determining the number of primitive shocks in factor models

Journal of Business and Economic Statistics

Volumn 25, Issue 1, 2007, Pages 52-60

  Bai, Jushan ^a,b   Ng, Serena ^c  

^a NEW YORK UNIVERSITY   (United States)

^b TSINGHUA UNIVERSITY   (China)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Common shocks; Dynamic factor model; Number of factors; Principal components analysis; Static factor

Indexed keywords

EID: 33846119127     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000413     Document Type: Article

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