Martingale approximation of eigenvalues for common factor representation
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References listed on IDEAS
- Magnus, Jan R., 1985. "On Differentiating Eigenvalues and Eigenvectors," Econometric Theory, Cambridge University Press, vol. 1(02), pages 179-191, August.
- Magnus, J.R., 1985. "On differentiating eigenvalues and eigenvectors," Other publications TiSEM f410e3a5-ba9b-4787-b8cc-4, Tilburg University, School of Economics and Management.
- Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, September.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008.
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- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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- Elhiwi, Majdi, 2014. "Default barrier intensity model for credit risk evaluation," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 125-131.
More about this item
KeywordsMartingale approximation; Dynamic factor model; Eigenvalue; Stability;
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