Consistent estimation of the number of dynamic factors in a large N and T panel

被引：120

作者：

Amengual, Dante ^{[1
]}

Watson, Mark W.

机构：

[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA

[2] Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2007年 / 25卷 / 01期

基金：

美国国家科学基金会;

关键词：

approximate factor model; Bai-Ng estimator; dynamic factor model;

D O I：

10.1198/073500106000000585

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai-Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai-Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components estimates of the static factors.

引用

页码：91 / 96

页数：6

共 15 条

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