In this paper we develop some statistical theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose a panel C_p criterion and show that the number of...

In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for...

Consumption is partly a social activity, yet most studies of consumer behavior treat households in isolation. We investigate familial relationships in consumption patterns using a sample of parents and their children from the Panel Study of Income Dynamics. We find a positive and statistically...