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Estimating the number of common factors in serially dependent approximate factor models
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Greenaway-McGrevy, Ryan | - |
| dc.contributor.author | Han, Chirok | - |
| dc.contributor.author | Sul, Donggyu | - |
| dc.date.accessioned | 2021-09-06T15:58:07Z | - |
| dc.date.available | 2021-09-06T15:58:07Z | - |
| dc.date.created | 2021-06-18 | - |
| dc.date.issued | 2012-09 | - |
| dc.identifier.issn | 0165-1765 | - |
| dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/107536 | - |
| dc.description.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. | - |
| dc.language | English | - |
| dc.language.iso | en | - |
| dc.publisher | ELSEVIER SCIENCE SA | - |
| dc.title | Estimating the number of common factors in serially dependent approximate factor models | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | Han, Chirok | - |
| dc.identifier.doi | 10.1016/j.econlet.2012.03.031 | - |
| dc.identifier.scopusid | 2-s2.0-84861897393 | - |
| dc.identifier.wosid | 000308449600073 | - |
| dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.116, no.3, pp.531 - 534 | - |
| dc.relation.isPartOf | ECONOMICS LETTERS | - |
| dc.citation.title | ECONOMICS LETTERS | - |
| dc.citation.volume | 116 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 531 | - |
| dc.citation.endPage | 534 | - |
| dc.type.rims | ART | - |
| dc.type.docType | Article | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Economics | - |
| dc.subject.keywordAuthor | Factor model | - |
| dc.subject.keywordAuthor | Prewhitening | - |
| dc.subject.keywordAuthor | Least squares dummy variable (LSDV) filter | - |
| dc.subject.keywordAuthor | Factor number estimation | - |
| dc.subject.keywordAuthor | Cross-section dependence | - |
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