RePEcEconometrics & Forecasting
Selecting Factors in Time Series
The paper suggests a new eigenvalue ratio criterion to determine the number of factors in static approximate factor models, validating its effectiveness through a Monte Carlo study.
Featured in No. 80 on 1 Jan 2025 · on release day
- Released
- 1 Jan 2025
- First featured
- No. 80 · 1 Jan 2025
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- RePEc:bla:jtsera:v:46:y:2025:i:1:p:113-136
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