A randomised sequential procedure to determine the number of factors

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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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Bibliographic Details
Main Author:	Trapani, Lorenzo
Format:	Article
Published:	Taylor & Francis 2017
Subjects:	Approximate factor models Randomised tests Number of factors
Online Access:	https://eprints.nottingham.ac.uk/46952/

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