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- W1593060747 abstract "This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r largest eigenvalues of the variance matrix of N response variables grow unboundedly as N increases, while the other eigenvalues remain bounded. The new estimators are obtained simply by maximizing the ratio of two adjacent eigenvalues. Our simulation results provide promising evidence for the two estimators." @default.
- W1593060747 created "2016-06-24" @default.
- W1593060747 date "2013-01-01" @default.
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- W1593060747 title "Eigenvalue Ratio Test for the Number of Factors" @default.
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- W1593060747 doi "https://doi.org/10.3982/ecta8968" @default.
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