We thank the editor and three anonymous referees for their numerous comments and suggestions that helped us improve the quality of the paper substantially. We also thank Jushan Bai, Alexei Onatski, Marcos Perez, Crocker Liu, Federico Nardari, Manuel Santos, Stephan Dieckmann, Na Wang, and Matteo Barigozzi for their helpful comments and/or sharing codes and data with us. The paper was presented in the econometrics seminars at Tokyo University, Kyoto University, Hitotsubashi University, the Korea Econometric Society Summer Meeting, Korea University, Wilfrid Laurier University, University of Southern California, Texas A&M University, Sam Houston State University, Bar Ilan University, Norwegian School of Economics and Business Administration, University of Alberta, Instituto Tecnológico Autónomo de México, and Seoul National University. We would like to thank the participants in the seminars. All remaining errors are, of course, our own.
Eigenvalue Ratio Test for the Number of Factors
Article first published online: 16 MAY 2013
© 2013 The Econometric Society
Volume 81, Issue 3, pages 1203–1227, May 2013
How to Cite
Ahn, S. C. and Horenstein, A. R. (2013), Eigenvalue Ratio Test for the Number of Factors. Econometrica, 81: 1203–1227. doi: 10.3982/ECTA8968
- Issue published online: 16 MAY 2013
- Article first published online: 16 MAY 2013
- Manuscript received December, 2009; final revision received September, 2012.
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