A rank test for the number of factors with high-frequency data
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.03.004
Abstract: Abstract In the literature, consistency of the estimates of the number of factors for large-dimensional factor models had been extensively studied recently. But the second-order property of the estimator has long been unsolved due to… read more here.
Keywords: test number; number; high frequency; rank test ... See more keywords
One model to rule them all? Using machine learning algorithms to determine the number of factors in exploratory factor analysis.
Sign Up to like & getrecommendations! Published in 2020 at "Psychological methods"
DOI: 10.1037/met0000262
Abstract: Determining the number of factors is one of the most crucial decisions a researcher has to face when conducting an exploratory factor analysis. As no common factor retention criterion can be seen as generally superior,… read more here.
Keywords: factor analysis; number factors; model; factor ... See more keywords
Reassessment of innovative methods to determine the number of factors: A simulation-based comparison of exploratory graph analysis and next eigenvalue sufficiency test.
Sign Up to like & getrecommendations! Published in 2022 at "Psychological methods"
DOI: 10.1037/met0000527
Abstract: Next Eigenvalue Sufficiency Test (NEST; Achim, 2017) is a recently proposed method to determine the number of factors in exploratory factor analysis (EFA). NEST sequentially tests the null-hypothesis that k factors are sufficient to model… read more here.
Keywords: next eigenvalue; cross loadings; number; number factors ... See more keywords
A self-reliant projected information criterion for the number of factors
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1576889
Abstract: Abstract In this article, we propose a new projected PCA to determine the number of factors. We project variables of interest into the space spanned by cross sectional averages of variables. And then we construct… read more here.
Keywords: self reliant; number factors; number; projected information ... See more keywords