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Estimating the number of common factors in serially dependent approximate factor models
- Issue Date
- 9월-2012
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Factor model; Prewhitening; Least squares dummy variable (LSDV) filter; Factor number estimation; Cross-section dependence
- Citation
- ECONOMICS LETTERS, v.116, no.3, pp.531 - 534
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 116
- Number
- 3
- Start Page
- 531
- End Page
- 534
- ISSN
- 0165-1765
- Abstract
- A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined. Published by Elsevier B.V.
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