Estimating the number of common factors in serially dependent approximate factor models

A simple data-dependent filtering method is proposed before applying the Bai–Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

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Year of publication:	2012
Authors:	Greenaway-McGrevy, Ryan ; Han, Chirok ; Sul, Donggyu
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 531-534
Publisher:	Elsevier
Subject:	Factor model \| Prewhitening \| Least squares dummy variable (LSDV) filter \| Factor number estimation \| Cross-section dependence

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Type of publication:	Article
Classification:	C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

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