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Testing Hypotheses About the Number of Factors in Large Factor Models

Citations

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Cited by:

  1. Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2018. "One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification," LSE Research Online Documents on Economics 87182, London School of Economics and Political Science, LSE Library.
  2. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
  3. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
  4. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
  5. Jörg Breitung & In Choi, 2013. "Factor models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265 Edward Elgar Publishing.
    • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  6. Cavicchioli, Maddalena & Forni, Mario & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
  7. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  8. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
  9. repec:dgr:rugsom:14008-eef is not listed on IDEAS
  10. Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
  11. Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
  12. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
  13. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  14. Matteo Luciani & Libero Monteforte, 2012. "Uncertainty and Heterogeneity in factor models forecasting," Working Papers 5, Department of the Treasury, Ministry of the Economy and of Finance.
  15. James Heckman & Rodrigo Pinto & Peter Savelyev, 2013. "Understanding the Mechanisms through Which an Influential Early Childhood Program Boosted Adult Outcomes," American Economic Review, American Economic Association, vol. 103(6), pages 2052-2086, October.
  16. Forni, Mario & Giovannelli, Alessandro & Lippi, Marco & Soccorsi, Stefano, 2016. "Dynamic Factor model with infinite dimensional factor space: forecasting," CEPR Discussion Papers 11161, C.E.P.R. Discussion Papers.
  17. Harun Mirza & Lidia Storjohann, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers bgse13_2012, University of Bonn, Germany.
  18. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  19. Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
  20. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
  21. Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014. "A criterion for the number of factors in a data-rich environment," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  22. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
  23. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo Group Munich.
  24. Jacobs, Jan P.A.M. & Otter, Pieter W. & den Reijer, Ard H.J., 2012. "Information, data dimension and factor structure," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 80-91.
  25. Sean Holly & Ivan Petrella, 2012. "Factor Demand Linkages, Technology Shocks, and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 948-963, November.
  26. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España;Working Papers Homepage.
  27. repec:eme:aecozz:s0731-905320150000035010 is not listed on IDEAS
  28. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
  29. James J. Heckman & Rodrigo Pinto, 2015. "Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 6-31, February.
  30. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
  31. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  32. Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi, 2014. "Bayesian exploratory factor analysis," Journal of Econometrics, Elsevier, vol. 183(1), pages 31-57.
  33. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
  34. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
  35. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
  36. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  37. repec:eee:intfor:v:34:y:2018:i:2:p:339-354 is not listed on IDEAS
  38. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Center for Economic Research (RECent) 040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  39. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, June.
  40. repec:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.16 is not listed on IDEAS
  41. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," Review of Economic Studies, Oxford University Press, vol. 83(4), pages 1511-1543.
  42. repec:eee:csdana:v:112:y:2017:i:c:p:235-241 is not listed on IDEAS
  43. Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
  44. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  45. Sean Holly & Ivan Petrella, 2008. " Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations," CDMA Conference Paper Series 0809, Centre for Dynamic Macroeconomic Analysis.
  46. In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016. "A Multilevel Factor Model: Identification, Asymptotic Theory and Applications," Working Papers 1609, Research Institute for Market Economy, Sogang University.
  47. Jiti Gao & Guangming Pan & Yanrong Yang, 2016. "CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 12/16, Monash University, Department of Econometrics and Business Statistics.
  48. Matteo Luciani & David Veredas, "undated". "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
  49. Dedu, Vasile & Stoica, Tiberiu, 2014. "The Impact of Monetaru Policy on the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 71-86, June.
  50. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
  51. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  52. Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 401-434 Emerald Publishing Ltd.
  53. Joakim Westerlund & Sagarika Mishra, 2017. "On the determination of the number of factors using information criteria with data-driven penalty," Statistical Papers, Springer, vol. 58(1), pages 161-184, March.
  54. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  55. repec:eee:jbfina:v:82:y:2017:i:c:p:244-264 is not listed on IDEAS
  56. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
  57. Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.
  58. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.), revised 18 Jul 2017.
  59. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
  60. Han, Xu, 2015. "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, vol. 184(2), pages 394-419.
  61. Passemier, Damien & McKay, Matthew R. & Chen, Yang, 2015. "Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 124-146.
  62. Li, Kunpeng & Lu, Lina, 2014. "Efficient estimation of heterogeneous coefficients in panel data models with common shock," MPRA Paper 59312, University Library of Munich, Germany.
  63. Wang, Qinwen & Silverstein, Jack W. & Yao, Jian-feng, 2014. "A note on the CLT of the LSS for sample covariance matrix from a spiked population model," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 194-207.
  64. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
  65. Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018. "One Money, Many Markets," Discussion Papers 1805, Centre for Macroeconomics (CFM).
  66. Passemier, Damien & Yao, Jianfeng, 2014. "Estimation of the number of spikes, possibly equal, in the high-dimensional case," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 173-183.
  67. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," UFAE and IAE Working Papers 851.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  68. repec:wyi:journl:002139 is not listed on IDEAS
  69. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  70. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
  71. Simon Freyaldenhoven, 2017. "A Generalized Factor Model with Local Factors," 2017 Papers pfr361, Job Market Papers.
  72. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers 1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
  73. Aboura, Sofiane & Chevallier, Julien, 2015. "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
  74. repec:eee:macchp:v2-415 is not listed on IDEAS
  75. repec:bla:jorssb:v:79:y:2017:i:1:p:51-67 is not listed on IDEAS
  76. Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
  77. In Choi, 2013. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Research Institute for Market Economy, Sogang University.
  78. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2678-2695.
  79. Wang, Shaoping & Cui, Guowei & Li, Kunpeng, 2015. "Factor-augmented regression models with structural change," Economics Letters, Elsevier, vol. 130(C), pages 124-127.
  80. Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133, arXiv.org, revised Mar 2013.
  81. repec:eee:finana:v:54:y:2017:i:c:p:159-175 is not listed on IDEAS
  82. repec:eee:jmvana:v:159:y:2017:i:c:p:18-38 is not listed on IDEAS
  83. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  84. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
  85. Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
  86. Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  87. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
  88. repec:eee:chieco:v:44:y:2017:i:c:p:203-226 is not listed on IDEAS
  89. Deo, Rohit S., 2016. "On the Tracy–Widom approximation of studentized extreme eigenvalues of Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 265-272.
  90. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1167-4 is not listed on IDEAS
  91. Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 348-367.
  92. Bystrov, Victor & di Salvatore, Antonietta, 2013. "Martingale approximation of eigenvalues for common factor representation," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 233-237.
  93. Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "The Quest for Parsimony in Behavioral Economics: New Methods and Evidence on Three Fronts," NBER Working Papers 23057, National Bureau of Economic Research, Inc.
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