A rank test for the number of factors with high-frequency data
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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