The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Eigenvalue Ratio Test for the Number of Factors
Open accessAbstract
This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r largest eigenvalues of the variance matrix of N response variables grow unboundedly as N increases, while the other eigenvalues remain bounded. The new estimators are obtained simply by maximizing the ratio of two adjacent eigenvalues. Our simulation results provide promising evidence for the two estimators.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
The Scree Test For The Number Of Factors
Cattell, R. B. (1966) · Multivariate Behavioral Research · doi:10.1207/s15327906mbr0102_10 · Cited by 13,554
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Linear Statistical Inference and its Applications: Second Editon
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The arbitrage theory of capital asset pricing
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Economic Forces and the Stock Market
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Determining the Number of Factors in Approximate Factor Models
Bai, J., & Ng, S. (2002) · Econometrica · doi:10.1111/1468-0262.00273 · Cited by 4,099
Capital Market Equilibrium with Restricted Borrowing
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Cited by
Identifying cointegration by eigenanalysis
Zhang, R., Robinson, P., & Yao, Q. (2019) · Journal of the American Statistical Association · doi:10.1080/01621459.2018.1458620 · Cited by 51
Carbon pricing and the elasticity of CO2 emissions
Rafaty, R., Dolphin, G., & Pretis, F. (2025) · Energy Economics · doi:10.1016/j.eneco.2025.108298 · Cited by 26
Determining the Rank of the Beta Matrix in Linear Asset Pricing Models
Ahn, S. C., Horenstein, A. R., & Wang, N. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1784566 · Cited by 2
The Limits of Query Monitoring against Distributed Model Extraction
Khilar, S. C. (2026) · arXiv
“We tried four repairs that pool topic cells across accounts—robust per-cell statistics, per-cell lagged scoring with shrinkage, a factor model of cell drift (Bai & Ng, 2002; Ahn & Horenstein, 2013), and gating behind the two-scale test.”
Metadata
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2013
- Volume
- 81
- Issue
- 3
- Pages
- 1203-1227
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1593060747
- Cited by
- 936
- References
- 29
- FWCI
- 36.70
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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