Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
大 N、大 T 面板中动态因子数量的一致估计
Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components estimates of the static…