On the determination of the number of factors using information criteria with data-driven penalty
Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin a...
Ausführliche Beschreibung
Autor*in: |
Westerlund, Joakim [verfasserIn] |
---|
Format: |
Artikel |
---|---|
Sprache: |
Englisch |
Erschienen: |
2015 |
---|
Schlagwörter: |
---|
Anmerkung: |
© Springer-Verlag Berlin Heidelberg 2015 |
---|
Übergeordnetes Werk: |
Enthalten in: Statistical papers - Springer Berlin Heidelberg, 1988, 58(2015), 1 vom: 04. Juni, Seite 161-184 |
---|---|
Übergeordnetes Werk: |
volume:58 ; year:2015 ; number:1 ; day:04 ; month:06 ; pages:161-184 |
Links: |
---|
DOI / URN: |
10.1007/s00362-015-0692-0 |
---|
Katalog-ID: |
OLC2025027133 |
---|
LEADER | 01000caa a22002652 4500 | ||
---|---|---|---|
001 | OLC2025027133 | ||
003 | DE-627 | ||
005 | 20230331143338.0 | ||
007 | tu | ||
008 | 200819s2015 xx ||||| 00| ||eng c | ||
024 | 7 | |a 10.1007/s00362-015-0692-0 |2 doi | |
035 | |a (DE-627)OLC2025027133 | ||
035 | |a (DE-He213)s00362-015-0692-0-p | ||
040 | |a DE-627 |b ger |c DE-627 |e rakwb | ||
041 | |a eng | ||
082 | 0 | 4 | |a 300 |a 330 |a 510 |q VZ |
100 | 1 | |a Westerlund, Joakim |e verfasserin |4 aut | |
245 | 1 | 0 | |a On the determination of the number of factors using information criteria with data-driven penalty |
264 | 1 | |c 2015 | |
336 | |a Text |b txt |2 rdacontent | ||
337 | |a ohne Hilfsmittel zu benutzen |b n |2 rdamedia | ||
338 | |a Band |b nc |2 rdacarrier | ||
500 | |a © Springer-Verlag Berlin Heidelberg 2015 | ||
520 | |a Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. | ||
650 | 4 | |a Panel data | |
650 | 4 | |a Common factor model | |
650 | 4 | |a Information criterion | |
650 | 4 | |a Data-driven penalty | |
700 | 1 | |a Mishra, Sagarika |4 aut | |
773 | 0 | 8 | |i Enthalten in |t Statistical papers |d Springer Berlin Heidelberg, 1988 |g 58(2015), 1 vom: 04. Juni, Seite 161-184 |w (DE-627)129572292 |w (DE-600)227641-0 |w (DE-576)015069486 |x 0932-5026 |7 nnns |
773 | 1 | 8 | |g volume:58 |g year:2015 |g number:1 |g day:04 |g month:06 |g pages:161-184 |
856 | 4 | 1 | |u https://doi.org/10.1007/s00362-015-0692-0 |z lizenzpflichtig |3 Volltext |
912 | |a GBV_USEFLAG_A | ||
912 | |a SYSFLAG_A | ||
912 | |a GBV_OLC | ||
912 | |a SSG-OLC-MAT | ||
912 | |a SSG-OLC-WIW | ||
912 | |a SSG-OPC-MAT | ||
912 | |a GBV_ILN_11 | ||
912 | |a GBV_ILN_26 | ||
912 | |a GBV_ILN_60 | ||
912 | |a GBV_ILN_70 | ||
912 | |a GBV_ILN_130 | ||
912 | |a GBV_ILN_2018 | ||
912 | |a GBV_ILN_4046 | ||
912 | |a GBV_ILN_4277 | ||
912 | |a GBV_ILN_4314 | ||
912 | |a GBV_ILN_4318 | ||
912 | |a GBV_ILN_4319 | ||
912 | |a GBV_ILN_4326 | ||
951 | |a AR | ||
952 | |d 58 |j 2015 |e 1 |b 04 |c 06 |h 161-184 |
author_variant |
j w jw s m sm |
---|---|
matchkey_str |
article:09325026:2015----::nhdtriainfhnmeofcossnifrainrtr |
hierarchy_sort_str |
2015 |
publishDate |
2015 |
allfields |
10.1007/s00362-015-0692-0 doi (DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Westerlund, Joakim verfasserin aut On the determination of the number of factors using information criteria with data-driven penalty 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2015 Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. Panel data Common factor model Information criterion Data-driven penalty Mishra, Sagarika aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 58(2015), 1 vom: 04. Juni, Seite 161-184 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:58 year:2015 number:1 day:04 month:06 pages:161-184 https://doi.org/10.1007/s00362-015-0692-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 AR 58 2015 1 04 06 161-184 |
spelling |
10.1007/s00362-015-0692-0 doi (DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Westerlund, Joakim verfasserin aut On the determination of the number of factors using information criteria with data-driven penalty 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2015 Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. Panel data Common factor model Information criterion Data-driven penalty Mishra, Sagarika aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 58(2015), 1 vom: 04. Juni, Seite 161-184 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:58 year:2015 number:1 day:04 month:06 pages:161-184 https://doi.org/10.1007/s00362-015-0692-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 AR 58 2015 1 04 06 161-184 |
allfields_unstemmed |
10.1007/s00362-015-0692-0 doi (DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Westerlund, Joakim verfasserin aut On the determination of the number of factors using information criteria with data-driven penalty 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2015 Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. Panel data Common factor model Information criterion Data-driven penalty Mishra, Sagarika aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 58(2015), 1 vom: 04. Juni, Seite 161-184 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:58 year:2015 number:1 day:04 month:06 pages:161-184 https://doi.org/10.1007/s00362-015-0692-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 AR 58 2015 1 04 06 161-184 |
allfieldsGer |
10.1007/s00362-015-0692-0 doi (DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Westerlund, Joakim verfasserin aut On the determination of the number of factors using information criteria with data-driven penalty 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2015 Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. Panel data Common factor model Information criterion Data-driven penalty Mishra, Sagarika aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 58(2015), 1 vom: 04. Juni, Seite 161-184 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:58 year:2015 number:1 day:04 month:06 pages:161-184 https://doi.org/10.1007/s00362-015-0692-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 AR 58 2015 1 04 06 161-184 |
allfieldsSound |
10.1007/s00362-015-0692-0 doi (DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p DE-627 ger DE-627 rakwb eng 300 330 510 VZ Westerlund, Joakim verfasserin aut On the determination of the number of factors using information criteria with data-driven penalty 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2015 Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. Panel data Common factor model Information criterion Data-driven penalty Mishra, Sagarika aut Enthalten in Statistical papers Springer Berlin Heidelberg, 1988 58(2015), 1 vom: 04. Juni, Seite 161-184 (DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 0932-5026 nnns volume:58 year:2015 number:1 day:04 month:06 pages:161-184 https://doi.org/10.1007/s00362-015-0692-0 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 AR 58 2015 1 04 06 161-184 |
language |
English |
source |
Enthalten in Statistical papers 58(2015), 1 vom: 04. Juni, Seite 161-184 volume:58 year:2015 number:1 day:04 month:06 pages:161-184 |
sourceStr |
Enthalten in Statistical papers 58(2015), 1 vom: 04. Juni, Seite 161-184 volume:58 year:2015 number:1 day:04 month:06 pages:161-184 |
format_phy_str_mv |
Article |
institution |
findex.gbv.de |
topic_facet |
Panel data Common factor model Information criterion Data-driven penalty |
dewey-raw |
300 |
isfreeaccess_bool |
false |
container_title |
Statistical papers |
authorswithroles_txt_mv |
Westerlund, Joakim @@aut@@ Mishra, Sagarika @@aut@@ |
publishDateDaySort_date |
2015-06-04T00:00:00Z |
hierarchy_top_id |
129572292 |
dewey-sort |
3300 |
id |
OLC2025027133 |
language_de |
englisch |
fullrecord |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2025027133</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230331143338.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200819s2015 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s00362-015-0692-0</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2025027133</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s00362-015-0692-0-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">300</subfield><subfield code="a">330</subfield><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Westerlund, Joakim</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">On the determination of the number of factors using information criteria with data-driven penalty</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer-Verlag Berlin Heidelberg 2015</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Panel data</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Common factor model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Information criterion</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Data-driven penalty</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mishra, Sagarika</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Statistical papers</subfield><subfield code="d">Springer Berlin Heidelberg, 1988</subfield><subfield code="g">58(2015), 1 vom: 04. Juni, Seite 161-184</subfield><subfield code="w">(DE-627)129572292</subfield><subfield code="w">(DE-600)227641-0</subfield><subfield code="w">(DE-576)015069486</subfield><subfield code="x">0932-5026</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:58</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:1</subfield><subfield code="g">day:04</subfield><subfield code="g">month:06</subfield><subfield code="g">pages:161-184</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s00362-015-0692-0</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_11</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_60</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_130</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4046</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4277</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4314</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4318</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4319</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">58</subfield><subfield code="j">2015</subfield><subfield code="e">1</subfield><subfield code="b">04</subfield><subfield code="c">06</subfield><subfield code="h">161-184</subfield></datafield></record></collection>
|
author |
Westerlund, Joakim |
spellingShingle |
Westerlund, Joakim ddc 300 misc Panel data misc Common factor model misc Information criterion misc Data-driven penalty On the determination of the number of factors using information criteria with data-driven penalty |
authorStr |
Westerlund, Joakim |
ppnlink_with_tag_str_mv |
@@773@@(DE-627)129572292 |
format |
Article |
dewey-ones |
300 - Social sciences 330 - Economics 510 - Mathematics |
delete_txt_mv |
keep |
author_role |
aut aut |
collection |
OLC |
remote_str |
false |
illustrated |
Not Illustrated |
issn |
0932-5026 |
topic_title |
300 330 510 VZ On the determination of the number of factors using information criteria with data-driven penalty Panel data Common factor model Information criterion Data-driven penalty |
topic |
ddc 300 misc Panel data misc Common factor model misc Information criterion misc Data-driven penalty |
topic_unstemmed |
ddc 300 misc Panel data misc Common factor model misc Information criterion misc Data-driven penalty |
topic_browse |
ddc 300 misc Panel data misc Common factor model misc Information criterion misc Data-driven penalty |
format_facet |
Aufsätze Gedruckte Aufsätze |
format_main_str_mv |
Text Zeitschrift/Artikel |
carriertype_str_mv |
nc |
hierarchy_parent_title |
Statistical papers |
hierarchy_parent_id |
129572292 |
dewey-tens |
300 - Social sciences, sociology & anthropology 330 - Economics 510 - Mathematics |
hierarchy_top_title |
Statistical papers |
isfreeaccess_txt |
false |
familylinks_str_mv |
(DE-627)129572292 (DE-600)227641-0 (DE-576)015069486 |
title |
On the determination of the number of factors using information criteria with data-driven penalty |
ctrlnum |
(DE-627)OLC2025027133 (DE-He213)s00362-015-0692-0-p |
title_full |
On the determination of the number of factors using information criteria with data-driven penalty |
author_sort |
Westerlund, Joakim |
journal |
Statistical papers |
journalStr |
Statistical papers |
lang_code |
eng |
isOA_bool |
false |
dewey-hundreds |
300 - Social sciences 500 - Science |
recordtype |
marc |
publishDateSort |
2015 |
contenttype_str_mv |
txt |
container_start_page |
161 |
author_browse |
Westerlund, Joakim Mishra, Sagarika |
container_volume |
58 |
class |
300 330 510 VZ |
format_se |
Aufsätze |
author-letter |
Westerlund, Joakim |
doi_str_mv |
10.1007/s00362-015-0692-0 |
dewey-full |
300 330 510 |
title_sort |
on the determination of the number of factors using information criteria with data-driven penalty |
title_auth |
On the determination of the number of factors using information criteria with data-driven penalty |
abstract |
Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. © Springer-Verlag Berlin Heidelberg 2015 |
abstractGer |
Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. © Springer-Verlag Berlin Heidelberg 2015 |
abstract_unstemmed |
Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap. © Springer-Verlag Berlin Heidelberg 2015 |
collection_details |
GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2018 GBV_ILN_4046 GBV_ILN_4277 GBV_ILN_4314 GBV_ILN_4318 GBV_ILN_4319 GBV_ILN_4326 |
container_issue |
1 |
title_short |
On the determination of the number of factors using information criteria with data-driven penalty |
url |
https://doi.org/10.1007/s00362-015-0692-0 |
remote_bool |
false |
author2 |
Mishra, Sagarika |
author2Str |
Mishra, Sagarika |
ppnlink |
129572292 |
mediatype_str_mv |
n |
isOA_txt |
false |
hochschulschrift_bool |
false |
doi_str |
10.1007/s00362-015-0692-0 |
up_date |
2024-07-03T23:26:45.023Z |
_version_ |
1803602315212488704 |
fullrecord_marcxml |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2025027133</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230331143338.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200819s2015 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s00362-015-0692-0</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2025027133</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s00362-015-0692-0-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">300</subfield><subfield code="a">330</subfield><subfield code="a">510</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Westerlund, Joakim</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">On the determination of the number of factors using information criteria with data-driven penalty</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer-Verlag Berlin Heidelberg 2015</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Panel data</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Common factor model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Information criterion</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Data-driven penalty</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mishra, Sagarika</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Statistical papers</subfield><subfield code="d">Springer Berlin Heidelberg, 1988</subfield><subfield code="g">58(2015), 1 vom: 04. Juni, Seite 161-184</subfield><subfield code="w">(DE-627)129572292</subfield><subfield code="w">(DE-600)227641-0</subfield><subfield code="w">(DE-576)015069486</subfield><subfield code="x">0932-5026</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:58</subfield><subfield code="g">year:2015</subfield><subfield code="g">number:1</subfield><subfield code="g">day:04</subfield><subfield code="g">month:06</subfield><subfield code="g">pages:161-184</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s00362-015-0692-0</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OPC-MAT</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_11</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_60</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_130</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4046</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4277</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4314</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4318</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4319</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">58</subfield><subfield code="j">2015</subfield><subfield code="e">1</subfield><subfield code="b">04</subfield><subfield code="c">06</subfield><subfield code="h">161-184</subfield></datafield></record></collection>
|
score |
7.397806 |