Onatski, Alexei - In: Econometrica 77 (2009) 5, pp. 1447-1479
In this paper we study high-dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k<sub>0</sub> factors against the alternative that the number of factors is larger than k<sub>0</sub> but no larger than k<sub>1</sub>k<sub>0</sub>. Our test statistic equals max<sub>k<sub>0</sub>k⩽k<sub>1</sub></sub>(Gamma<sub>k</sub> -...
