关于近似因子模型中因子数量的确定

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-10-03 DOI:10.1515/snde-2020-0055

Jinshan Liu, Jiazhu Pan, Qiang Xia, Li Xiao

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引用次数: 0

摘要

摘要本文提出了一种确定近似因子模型中因子数量的岭型方法。因子数的新估计量是通过最大化两个相邻特征值的比率和表示公共因子对响应变量的解释力的因子的累积贡献率来获得的。我们的估计量被证明与（Ahn，S.，and A.Horenstein.2013）中的估计量一样渐近一致。“因素数量的特征值比率检验”，计量经济学81:1203-27）。但蒙特卡罗模拟实验表明，在有限样本情况下，我们的方法具有更好的正确选择率。文中给出了一个实际数据实例。

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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On determination of the number of factors in an approximate factor model

Abstract This paper proposes a ridge-type method for determining the number of factors in an approximate factor model. The new estimator of factor number is obtained by maximizing both the ratio of two adjacent eigenvalues and the cumulative contribution rate of the factors which represents the explanatory power of the common factors for response variables. Our estimator is proved to be as asymptotically consistent as those in (Ahn, S., and A. Horenstein. 2013. “Eigenvalue Ratio Test for the Number of Factors.” Econometrica 81: 1203–27). But Monte Carlo simulation experiments show our method has better correct selection rates in finite sample cases. A real data example is given for illustration.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.