In the factor analysis model with large cross-section and time-series dimensions,we pro- pose a new method to estimate the number of factors.Specially if the idiosyncratic terms satisfy a linear time series model,the ...In the factor analysis model with large cross-section and time-series dimensions,we pro- pose a new method to estimate the number of factors.Specially if the idiosyncratic terms satisfy a linear time series model,the estimators of the parameters can be obtained in the time series model. The theoretical properties of the estimators are also explored.A simulation study and an empirical analysis are conducted.展开更多
基金This work was partially supported by the National Natural Science Foundation of China (Grant No.10471135)
文摘In the factor analysis model with large cross-section and time-series dimensions,we pro- pose a new method to estimate the number of factors.Specially if the idiosyncratic terms satisfy a linear time series model,the estimators of the parameters can be obtained in the time series model. The theoretical properties of the estimators are also explored.A simulation study and an empirical analysis are conducted.
