Eigenvalue ratio test for the number of factors

Econometrica

Volumn 81, Issue 3, 2013, Pages 1203-1227

  Ahn, Seung C ^a,b   Horenstein, Alex R ^c,d  

^a ARIZONA STATE UNIVERSITY   (United States)

^b Sogang University   (South Korea)

^c UNIVERSITY OF MIAMI   (United States)

^d INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

Author keywords

Approximate factor models; Eigenvalues; Number of factors

Indexed keywords

EID: 84877901545     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA8968     Document Type: Article

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