http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
- 中文 을 입력하시려면 zhongwen을 입력하시고 space를누르시면됩니다.
- 北京 을 입력하시려면 beijing을 입력하시고 space를 누르시면 됩니다.
RISS 인기검색어
- 검색키워드
- 저자 : Alex R. Horenstein (검색결과 1 건)
- 무료
- 기관 내 무료
- 유료
-
Eigenvalue Ratio Test for the Number of Factors
Seung C. Ahn,Alex R. Horenstein 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2008 No.2
This paper proposes two new estimators for determining the number of factors in approximate factor models. We exploit the well known fact that the r eigenvalues of the variance-covariance matrix of N response variables, where r is the number of comment factors in the variables, grow unboundedly as N increases. The criterion functions used for the two estimators are related to the ratio of two adjacent eigenvalues. An important advantage of the estimators is that they do not require the use of penalty functions. The estimators can be viewed as a reformulation of the well known scree test. We show that the estimators are consistent under the general conditions of Bai and Ng (2002). Our simulation results show that the estimators have good finite sample properties unless the signal-to-noise-ratio of each factor is too low. They perform much better than the Bai-Ng estimators do when either the number of the response variables analyzed or the number of time series observations, T, is small.
연관 검색어 추천
이 검색어로 많이 본 자료
활용도 높은 자료
