A randomised sequential procedure to determine the number of factors
This paper proposes a procedure to estimate the number of common factors k in a static approximate factor model. The building block of the analysis is the fact that the first k eigenvalues of the covariance matrix of the data diverge, whilst the others stay bounded. On the grounds of this, we propos...
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| Format: | Article |
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Taylor & Francis
2017
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| Online Access: | https://eprints.nottingham.ac.uk/46952/ |