A New Method for Determining the Number of Factors in Factor Models with Large Datasets
| Year of publication: |
2004-10
|
|---|---|
| Authors: | Kapetanios, George |
| Institutions: | School of Economics and Finance, Queen Mary |
| Subject: | Factor models | Large sample covariance matrix | Maximum eigenvalue |
| Extent: | application/pdf |
|---|---|
| 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: |
-
Kapetanios, George, (2005)
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