Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
Bibliographic Data
| ID | 19420212 |
|---|---|
| Authors | Dante Amengual (0000-0002-8727-1019, Princeton University), Mark W Watson (0009-0009-9986-3466, Woodrow Wilson International Center for Scholars) |
| Year | 2007 |
| Volume | 25 |
| Issue | 1 |
| Pages | 91-96 |
| Publication date | 2007-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500106000000585 |
| OpenAlex | W1977636215 |
| Language | EN |
| Citations received | 19 |
| References cited | 7 |
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
Dynamic factor · Econometrics · Economics · Estimation · Estimator · Panel data · Statistics · Advanced Statistical Methods and Models · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference
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| Unique citing works | 19 |
|---|---|
| Citations per year | 1 |
| Citation span | 2007 - 2026 (20) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 17 |