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Determining the Number of Factors in Approximate Factor Models
Bai, Jushan; Ng, Serena - Department of Economics, Boston College - 2000
In this paper we develop some econometric theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose some panel C(p) criteria and show that the number of...
Persistent link: https://www.econbiz.de/10005074191
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A semiparametric factor model of interest rates and tests of the affine term structure
Ghysels, Eric - In: The review of economics and statistics 80 (1998) 4, pp. 535-548
Persistent link: https://www.econbiz.de/10001254697
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Constructing common factors from continuous and categorical data
Ng, Serena - In: Econometric reviews 34 (2015) 6/10, pp. 1141-1171
Persistent link: https://www.econbiz.de/10011483453
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Determining the number of factors in approximate factor models
Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 191-221
Persistent link: https://www.econbiz.de/10001648105
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Are more data always better for factor analysis?
Boivin, Jean; Ng, Serena - 2003
Persistent link: https://www.econbiz.de/10001774837
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Panel cointegration with global stochastic trends
Bai, Jushan; Kao, Chihwa; Ng, Serena - In: Journal of econometrics 149 (2009) 1, pp. 82-99
Persistent link: https://www.econbiz.de/10003833733
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A hierachical factor analysis of US housing market dynamics
Mönch, Emanuel; Ng, Serena - In: The econometrics journal 14 (2011) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009007632
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Principal components estimation and identication of the factors
Bai, Jushan; Ng, Serena - 2011
Persistent link: https://www.econbiz.de/10009748948
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Principal components estimation and identification of static factors
Bai, Jushan; Ng, Serena - In: Journal of econometrics 176 (2013) 1, pp. 18-29
Persistent link: https://www.econbiz.de/10009764410
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Dynamic hierarchical factor models
Mönch, Emanuel; Ng, Serena; Potter, Simon M. - In: The review of economics and statistics 95 (2013) 5, pp. 1811-1817
Persistent link: https://www.econbiz.de/10010350633