The DOI matches its Crossref record.
Testing Hypotheses About the Number of Factors in Large Factor Models
Abstract
In this paper we study high-dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k0 factors against the alternative that the number of factors is larger than k0 but no larger than k1>k0. Our test statistic equals maxk0
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Citations
Cited by
Heckman, J., Pinto, R., & Savelyev, P. (2013) · American Economic Review · doi:10.1257/aer.103.6.2052 · Cited by 1,628
Heckman, J., Pinto, R., & Savelyev, P. (2012) · doi:10.3386/w18581 · Cited by 415
Factor Models, Machine Learning, and Asset Pricing
Giglio, S., Kelly, B., & Xiu, D. (2022) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-101521-104735 · Cited by 187
Conscientiousness, Extraversion, College Education, and Longevity of High-Ability Individuals
Savelyev, P. A. (2010) · doi:10.2139/ssrn.1715942 · Cited by 52
Metadata
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2009
- Volume
- 77
- Issue
- 5
- Pages
- 1447-1479
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1960920821
- Cited by
- 427
- References
- 0
- FWCI
- 28.57
- Type
- journal article
- Language
- en
- Open access
- closed
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- Testing Hypotheses About the Number of Factors in Large Factor Models. (2009). Econometrica. https://doi.org/10.3982/ecta6964
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
