Cover Image

Improved penalization for determining the number of factors in approximate factor models

The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor models is revisited. In order to improve its performance, we introduce a tuning multiplicative constant in the penalty, an idea that was proposed by Hallin and Liska (2007) in the context of dynamic factor models. Simulations show that our method in general delivers more reliable estimates, in particular in the case of large idiosyncratic disturbances.
Year of publication:
2010
Authors: Alessi, Lucia ; Barigozzi, Matteo ; Capasso, Marco
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 23-24, p. 1806-1813
Publisher: Elsevier
Keywords: Number of factors Approximate factor models Information criterion Model selection
Online Resource
Check full text access |
Check Google Scholar
In libraries world-wide (WorldCat)
In German libraries (KVK)
subito order
I need help
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008868841
Similar items by person