Determining the Number of Factors in Approximate Factor Models
Jushan Bai and
Serena Ng ()
No 1504, Econometric Society World Congress 2000 Contributed Papers from Econometric Society
Abstract:
In this paper we develop some statistical 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 a panel C_p criterion and show that the number of factors can be consistently estimated using the criterion. The theory is developed under the framework of large cross-sections (N) and large time dimensions (T). No restriction is imposed on the relation between N and T. Simulations show that the proposed criterion yields almost precise estimates of the number of factors for configurations of the panel data encountered in practice.
Date: 2000-08-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (33)
Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/1504.pdf main text (application/pdf)
Related works:
Journal Article: Determining the Number of Factors in Approximate Factor Models (2002)
Working Paper: Determining the Number of Factors in Approximate Factor Models (2000) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:1504
Access Statistics for this paper
More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().