A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
暂无分享,去创建一个
[1] J. Bai,et al. Determining the Number of Factors in Approximate Factor Models , 2000 .
[2] A. Onatski. Determining the Number of Factors from Empirical Distribution of Eigenvalues , 2010, The Review of Economics and Statistics.
[3] G. Kapetanios,et al. Estimating the Rank of the Spectral Density Matrix , 2004, SSRN Electronic Journal.
[4] Z. Bai,et al. On the limit of the largest eigenvalue of the large dimensional sample covariance matrix , 1988 .
[5] Gary Chamberlain,et al. FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELS , 1983 .
[6] S. Péché,et al. Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices , 2004, math/0403022.
[7] Marco Lippi,et al. The Generalized Factor Model: Identification and Estimation , 2000 .
[8] A. Onatski. A formal statistical test for the number of factors in the approximate factor models , 2006 .
[9] J. Stock,et al. Macroeconomic Forecasting Using Diffusion Indexes , 2002 .
[10] P. Otter,et al. Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach , 2008 .
[11] J. W. Silverstein,et al. No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices , 1998 .
[12] C. Tracy,et al. Mathematical Physics © Springer-Verlag 1996 On Orthogonal and Symplectic Matrix Ensembles , 1995 .
[13] Gregory Connor,et al. A Test for the Number of Factors in an Approximate Factor Model , 1993 .
[14] Joseph P. Romano,et al. Large Sample Confidence Regions Based on Subsamples under Minimal Assumptions , 1994 .
[15] J. Bai,et al. Inferential Theory for Factor Models of Large Dimensions , 2003 .
[16] Marco Lippi,et al. The generalized dynamic factor model: consistency and rates , 2004 .
[17] George Kapetanios,et al. Tests of Rank in Reduced Rank Regression Models , 2003 .
[18] J. Davidson. Stochastic Limit Theory , 1994 .
[19] J. D. T. Oliveira,et al. The Asymptotic Theory of Extreme Order Statistics , 1979 .
[20] P. Loubaton,et al. THE EMPIRICAL EIGENVALUE DISTRIBUTION OF A GRAM MATRIX: FROM INDEPENDENCE TO STATIONARITY , 2005 .
[21] I. Johnstone. On the distribution of the largest eigenvalue in principal components analysis , 2001 .
[22] H. Luetkepohl. The Handbook of Matrices , 1996 .
[23] Jushan Bai,et al. Estimating cross-section common stochastic trends in nonstationary panel data , 2004 .
[24] Serena Ng,et al. Determining the Number of Primitive Shocks in Factor Models , 2007 .
[25] Mark W. Watson,et al. Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel , 2007 .
[26] M. Rothschild,et al. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets , 1982 .
[27] M. Hallin,et al. The Generalized Dynamic-Factor Model: Identification and Estimation , 2000, Review of Economics and Statistics.
[28] G. Kapetanios. A New Method for Determining the Number of Factors in Factor Models with Large Datasets , 2004 .
[29] Yuzo Hosoya,et al. Hierarchical statistical models and a generalized likelihood ratio test , 1989 .
[30] S. Péché,et al. Universality of local eigenvalue statistics for some sample covariance matrices , 2005 .
[31] Arthur Lewbel,et al. The Rank of Demand Systems: Theory and Nonparametric Estimation , 1991 .
[32] H. Schwarz. Numerical analysis of symmetric matrices , 1974 .
[33] Joseph P. Romano. Bootstrap and randomization tests of some nonparametric hypotheses , 1989 .
[34] M. Hallin,et al. Determining the Number of Factors in the General Dynamic Factor Model , 2007 .
[35] P. Doukhan. Mixing: Properties and Examples , 1994 .