Testing hypotheses about the number of factors in large factor models

Econometrica

Volumn 77, Issue 5, 2009, Pages 1447-1479

  Onatski, Alexei ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Approximate factor model; Generalized dynamic factor model; Hypothesis test; Number of factors; Tracy Widom distribution

Indexed keywords

EID: 70349835782     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA6964     Document Type: Article

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