利用组变量正则化选择近似因子模型中的因子数量

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2024-07-09 DOI:10.1080/07474938.2024.2365795

Maurizio Daniele

引用次数: 0

摘要

我们提出了一种估算近似因子模型中因子数量的新方法。该模型基于一种惩罚性最大似然法，其中包含一种自适应分层方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Selecting the number of factors in approximate factor models using group variable regularization

We propose a novel method for the estimation of the number of factors in approximate factor models. The model is based on a penalized maximum likelihood approach incorporating an adaptive hierarchi...

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.