Identifying the number of factors using a white noise test

Publication date: Available online 11 May 2019Source: Statistics & Probability LettersAuthor(s): Shuangbo Li, Li-Xin ZhangAbstractWe propose a new method to estimate the number of factors in a factor model using a new test for vector white noise for high-dimensional cases. We provide the theoretical basis for this method, and the simulation results indicate that the present method outperforms previous methods in some finite sample cases.

Source: Statistics and Probability Letters - May 12, 2019 Category: Statistics Source Type: research