Estimating the number of common factors in serially dependent approximate factor models

Ryan Greenaway-McGrevy; Chirok Han; Donggyu Sul

doi:10.1016/j.econlet.2012.03.031

Estimating the number of common factors in serially dependent approximate factor models

Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

Original language	English
Pages (from-to)	531-534
Number of pages	4
Journal	Economics Letters
Volume	116
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2012.03.031
Publication status	Published - 2012 Sept

Keywords

Cross-section dependence
Factor model
Factor number estimation
Least squares dummy variable (LSDV) filter
Prewhitening

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2012.03.031

Cite this

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title = "Estimating the number of common factors in serially dependent approximate factor models",

abstract = "A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.",

keywords = "Cross-section dependence, Factor model, Factor number estimation, Least squares dummy variable (LSDV) filter, Prewhitening",

author = "Ryan Greenaway-McGrevy and Chirok Han and Donggyu Sul",

year = "2012",

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doi = "10.1016/j.econlet.2012.03.031",

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AU - Han, Chirok

AU - Sul, Donggyu

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N2 - A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

AB - A simple data-dependent filtering method is proposed before applying the Bai-Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

KW - Cross-section dependence

KW - Factor model

KW - Factor number estimation

KW - Least squares dummy variable (LSDV) filter

KW - Prewhitening

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DO - 10.1016/j.econlet.2012.03.031

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SN - 0165-1765

VL - 116

SP - 531

EP - 534

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Estimating the number of common factors in serially dependent approximate factor models

Abstract

Keywords

ASJC Scopus subject areas

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