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Statistics and Probability Letters
Volumn 80, Issue 23-24, 2010, Pages 1806-1813
Improved penalization for determining the number of factors in approximate factor models
Author keywords

Approximate factor models; Information criterion; Model selection; Number of factors
Indexed keywords

EID: 77958467466     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2010.08.005     Document Type: Article
Times cited : (243)
References (9)
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  • 2
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  • 3
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    • Forni M., Gannone D., Lippi M., Reichlin L. Opening the black box: structural factor models versus structural VARs. Econometric Theory 2009, 25:1319-1347.
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  • 6
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    • Determining the number of factors in the general dynamic factor model
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  • 7
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    • Determining the number of factors from empirical distribution of eigenvalues. The Review of Economics and Statistics (forthcoming), doi:10.1162/REST_a_00043
    • Onatski, A., 2010. Determining the number of factors from empirical distribution of eigenvalues. The Review of Economics and Statistics (forthcoming), doi:10.1162/REST_a_00043.
    • (2010)
    • Onatski, A.1
  • 8
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    • Implications of dynamic factor models for VAR analysis. NBER Working Papers 11467. National Bureau of Economic Research, Inc.
    • Stock, J.H., Watson, M.W., 2005. Implications of dynamic factor models for VAR analysis. NBER Working Papers 11467. National Bureau of Economic Research, Inc.
    • (2005)
    • Stock, J.H.1    Watson, M.W.2
  • 9
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    • Modelling multiple time series via common factors
    • Yao Q., Pan J. Modelling multiple time series via common factors. Biometrika 2008, 95:365-379.
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    • Yao, Q.1    Pan, J.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.