A self-reliant projected information criterion for the number of factors
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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