Determining the number of factors in static approximate factor models using discrete fourier transforms and pseudo-eigenvalues
Year of publication: |
2021
|
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Authors: | Ruan, Weihua ; Hou, Qian |
Published in: |
Jahrbücher für Nationalökonomie und Statistik. - Berlin : De Gruyter Oldenbourg, ISSN 2366-049X, ZDB-ID 2416178-0. - Vol. 241.2021, 1, p. 71-117
|
Subject: | discrete Fourier transforms | common factors | idiosyncratic errors | pseudo-eigenvalues | static approximate factor models | Theorie | Theory | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis |
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