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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Citations
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Identifying cointegration by eigenanalysis
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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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