A diagnostic criterion for approximate factor structure
نویسندگان
چکیده
منابع مشابه
a robuSt criterion for deterMining the nuMber of Static factorS in aPProxiMate factor ModelS
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power of the function itself as in the Hallin and Liška [2007] criterion for the number of dynamic factors. By iteratively evaluating the criterion for differen...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2019.06.001