Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2008
function. This is shown by means of Monte Carlo simulations on seven data generating processes, including heteroskedastic …
simulations on seven data generating processes, including heteroskedastic processes, on
samples of different size. Two empirical … can consistently estimate the number of common
factors driving the data. Indeed, factor models are particularly useful for …