Determining the number of factors when the number of factors can increase with sample size
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DOI: 10.1016/j.jeconom.2016.06.003
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More about this item
Keywords
Principal components; Factor analysis; Increasing number of factors; Information criteria;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
Statistics
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