Estimating the number of common factors in serially dependent approximate factor models

Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

Original languageEnglish
Pages (from-to)531-534
Number of pages4
JournalEconomics Letters
Volume116
Issue number3
DOIs
Publication statusPublished - 2012 Sep

Keywords

  • Cross-section dependence
  • Factor model
  • Factor number estimation
  • Least squares dummy variable (LSDV) filter
  • Prewhitening

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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