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 |
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Pages (from-to) | 531-534 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 116 |
Issue number | 3 |
DOIs | |
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