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 Liška (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. Keywords: Number of factors; Approximate factor models; Information criterion; Model selectio
This paper derives a new criterion for the determination of the number of factors in static approxim...
The problem of the determination of the number of latent factors is analysed within a generalized fa...
The dynamic factor model proposed by Stock and Watson (1989) has been widely used in that it can exp...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor ...
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static f...
We modify the criterion by Bai and Ng (2002) for determining the number of factors in approximate fa...
As is well known, when using an information criterion to select the number of common factors in fact...
This note proposes a new criterion for the determination of the number of factors in an approximate ...
This paper proposes a ridge-type method for determining the number of factors in an approximate fact...
In this paper, we compare the properties of the main criteria proposed for selecting the number of f...
Correctly specifying the number of factors (r) is a fundamental issue for the application of factor ...
This article develops an information criterion for determining the number q of common shocks in the ...
In this paper we develop some econometric theory for factor models of large dimensions. The focus is...
This paper derives a new criterion for the determination of the number of factors in static approxim...
The problem of the determination of the number of latent factors is analysed within a generalized fa...
The dynamic factor model proposed by Stock and Watson (1989) has been widely used in that it can exp...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor ...
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static f...
We modify the criterion by Bai and Ng (2002) for determining the number of factors in approximate fa...
As is well known, when using an information criterion to select the number of common factors in fact...
This note proposes a new criterion for the determination of the number of factors in an approximate ...
This paper proposes a ridge-type method for determining the number of factors in an approximate fact...
In this paper, we compare the properties of the main criteria proposed for selecting the number of f...
Correctly specifying the number of factors (r) is a fundamental issue for the application of factor ...
This article develops an information criterion for determining the number q of common shocks in the ...
In this paper we develop some econometric theory for factor models of large dimensions. The focus is...
This paper derives a new criterion for the determination of the number of factors in static approxim...
The problem of the determination of the number of latent factors is analysed within a generalized fa...
The dynamic factor model proposed by Stock and Watson (1989) has been widely used in that it can exp...