Travail de recherche/Working paper
Titre:
  • A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
Auteur:Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco
Statut de publication:Publié, 2009
series:ECARES Working papers, 2009_023
Sujet CREF:Economie
Sujet JEL:Model Evaluation and Selection
Volumes/pages:21 p.
Mots-clés:Approximate factor models
information criterion
model selection.
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2009_023

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