A testing procedure for determining the number of factors in approximate factor models with large datasets
Year of publication: |
2005
|
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Authors: | Kapetanios, George |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Factor models, Large sample covariance matrix, Maximum eigenvalue |
Series: | Working Paper ; 551 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 50665074X [GVK] hdl:10419/62894 [Handle] |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data |
Source: |
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