期刊
STATISTICS & PROBABILITY LETTERS
卷 80, 期 23-24, 页码 1806-1813出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2010.08.005
关键词
Number of factors; Approximate factor models; Information criterion; Model selection
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 Liska (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. (c) 2010 Elsevier B.V. All rights reserved.
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