A New Method for Determining the Number of Factors in Factor Models with Large Datasets
Year of publication: |
2004-10
|
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Authors: | Kapetanios, George |
Institutions: | School of Economics and Finance, Queen Mary |
Subject: | Factor models | Large sample covariance matrix | Maximum eigenvalue |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 525 |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data |
Source: |
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Kapetanios, George, (2005)
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