| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11440
|
| DP11440 Eigenvalue Ratio Estimators for the Number of Common Factors |
| Mario Forni; Paolo Zaffaroni
|
| 发表日期 | 2016-08-18
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | In this paper we introduce three dynamic eigenvalue ratio estimators for the number of dynamic factors. Two of them, the Dynamic Eigenvalue Ratio (DER) and the Dynamic Growth Ratio (DGR) are dynamic counterparts of the eigenvalue ratio estimators (ER and GR) proposed by Ahn
and Horenstein (2013). The third, the Dynamic eigenvalue Difference Ratio (DDR), is a new one but closely related to the test statistic proposed by Onatsky (2009). The advantage of such estimators is that they do not require preliminary determination of discretionary parameters. Finally, a static counterpart of the latter estimator, called eigenvalue Difference Ratio estimator (DR), is also proposed. We prove consistency of such estimators and evaluate their performance under simulation. We conclude that both DDR and DR are valid alternatives to existing criteria. Application to real data gives new insights on the number of factors driving the US economy. |
| 主题 | Monetary Economics and Fluctuations
|
| URL | https://cepr.org/publications/dp11440
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540254
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推荐引用方式
GB/T 7714 |
Mario Forni,Paolo Zaffaroni. DP11440 Eigenvalue Ratio Estimators for the Number of Common Factors. 2016.
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