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论文类型：期刊论文

论文编号：109149

第一作者：Jie Wei

通讯作者：Hui Chen

发表刊物：Economics Letters

收录刊物：SCI

所属单位：School of Economics, Huazhong University of Science and Technology

刊物所在地：美国

学科门类：经济学

一级学科：应用经济学

项目来源：Ministry of Education of Humanities and Social Sciences Project of China (No. 17YJC790159)

文献类型：J

卷号：191

期号：6

ISSN号：0165-1765

关键字：Approximate factor models, K-fold cross validation, Consistency, Finite sample performance

发表时间：2020-04-08

摘要：We propose a data driven determination method of the number of factors by cross validation (CV) in approximate factor models. A K-fold CV is applied along each of the two directions (individual and time) of a panel dataset. We prove the consistency of the proposed twice K-fold CV under mild conditions. Monte Carlo simulations demonstrate superior and robust performance of our selection method in comparison with existing approaches, especially at small panels with moderate units or time lengths. An empirical application to identify factor numbers in the UK is provided.

发布期刊链接：https://doi.org/10.1016/j.econlet.2020.109149