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Estimating the number of common factors in serially dependent approximate factor models
- Greenaway-McGrevy, Ryan;
- Han, Chirok;
- Sul, Donggyu
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13초록
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.
키워드
Factor model; Prewhitening; Least squares dummy variable (LSDV) filter; Factor number estimation; Cross-section dependence
- 제목
- Estimating the number of common factors in serially dependent approximate factor models
- 저자
- Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu
- 발행일
- 2012-09
- 유형
- Article
- 권
- 116
- 호
- 3
- 페이지
- 531 ~ 534
- 언어
- ENG
- 출판사
- ELSEVIER SCIENCE SA
- 발행국가
- 스위스
- 분량
- 4 페이지
- ISSN
- P 0165-1765