Transformed contribution ratio test for the number of factors in static approximate factor models
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: Computational Statistics & Data Analysis
سال: 2017
ISSN: 0167-9473
DOI: 10.1016/j.csda.2017.03.005