Determining the Number of Primitive Shocks in Factor Models

By Jushan Bai, Serena Ng. 2007

577 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

No News in Business Cycles (2014, unknown): “Closely related models have been studied by Forni and Reichlin (1998), Stock and Watson (2002a, 2002b, 2005), Bai and Ng (2002, 2007), Bai (2003) and Bernanke et al. (2005).”
Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel (2007, methodology): “For example in Bernanke, Boivin, and Eliasz (2005) and Stock and Watson (2006), Xt is partitioned into a set of “slow moving” variables and other variables, Xt = (Xslow′t Xother′t )′ where innovations in Xslowt depend on only a subset of the ηt.”
Factor modeling for high-dimensional time series: inference for the number of factors (2012, methodology): “The other available methods for determining r include the information criteria approaches of [2, 3] and [9], and the bootstrap approach of [4], though the settings considered in those papers are different.”
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS (2009, methodology): “…following dynamic factor model has been often considered in the largedimensional factor-model literature (see Stock and Watson, 2002a, 2002b, 2005; Bai and Ng, 2007; Forni et al., 2005): χnt = Cn0 f ∗t +Cn1 f ∗t−1 +·· ·+Cns f ∗t−s, (5) where f ∗t is q-dimensional and the matrices C are n × q and…”
DYNAMIC FACTOR MODELS (2018, background): “Hallin and Liška (2007) propose a frequency-domain procedure based on the observation that the rank of the spectrum of the common component of X t is q. Bai and Ng (2007) propose an estimator based on the observation that the innovation variance matrix in the population VAR (5) has rank q.”
A Randomized Sequential Procedure to Determine the Number of Factors (2018, methodology): “A possible approach would be based on casting the dynamic factor model into a static one, following the approach proposed by Bai and Ng (2007).”
Theory and Practice of GVAR Modeling (2016, unknown): “(4)Stock and Watson (1999), Stock and Watson (2002), Giannone, Reichlin, and Sala (2005) conclude that only few, perhaps two, factors explain much of the predictable variations, while Bai and Ng (2007) estimate four factors and Stock and Watson (2005) estimate as many as seven factors.”
Identification and Estimation of Dynamic Factor Models (2012, methodology): “∼ N 0,  σ2 W 0 0 σ2 C   , (6)”
Identification and estimation of a large factor model with structural instability (2017, unknown): “[10] BAI, J.”
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy (2014, unknown): “13Other criteria, not used in this paper, to determine q or r are in Bai and Ng (2007), Amengual and Watson (2007), Onatski (2010), and Kapetanios (2010).”
Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP (2010, methodology): “For the model selection using information criteria, we use criteria by Bai and Ng (2002) and Bai and Ng (2007) for the number of static and dynamic factors, respectively.”