A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large DatasetsReportar como inadecuado




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1 RITM - Réseaux Innovation Territoires et Mondialisation RITM - Réseaux Innovation Territoires et Mondialisation 2 LEMNA - Laboratoire d-économie et de management de Nantes Atlantique

Abstract : In this paper, we compare the properties of the main criteria proposed for selecting the number of factors in dynamic factor model in a small sample. Both static and dynamic factor numbers- selection rules are studied. Simulations show that the GR ratio proposed by Ahn and Horenstein 2013 and the criterion proposed by Onatski 2010 outperform the others. Furthermore, the two criteria can select accurately the number of static factors in a dynamic factors design. Also, the criteria proposed by Hallin and Liska 2007 and Breitung and Pigorsch 2009 correctly select the number of dynamic factors in most cases. However, empirical applications show most criteria select only one factor in presence of one strong factor.

Keywords : Dynamic factor model factor numbers small sample properties





Autor: Liang Guo-Fitoussi - Olivier Darné -

Fuente: https://hal.archives-ouvertes.fr/



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