Identifying the number of factors using a white noise test

Shuangbo Li and Li-Xin Zhang

Statistics & Probability Letters, 2019, vol. 152, issue C, 92-99

Abstract: We propose a new method to estimate the number of factors in a factor model using a new test for vector white noise for high-dimensional cases. We provide the theoretical basis for this method, and the simulation results indicate that the present method outperforms previous methods in some finite sample cases.

Keywords: Autocorrelation; Normal approximation; White noise test; Parametric bootstrap; Factor models (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.04.011

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