A testing procedure for determining the number of factors in approximate factor models with large datasets

Journal of Business and Economic Statistics

Volumn 28, Issue 3, 2010, Pages 397-409

  Kapetanios, George ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Factor models; Large sample covariance matrix; Maximum eigenvalue

Indexed keywords

EID: 78649393421     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.07239     Document Type: Article

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