You are not logged in.

A practical note on the determination of the number of factors using information criteria with data-driven penalty

Westerlund, Joakim and Mishra, Sagarika 2014, A practical note on the determination of the number of factors using information criteria with data-driven penalty, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

Attached Files
Name Description MIMEType Size Downloads

Title A practical note on the determination of the number of factors using information criteria with data-driven penalty
Author(s) Westerlund, Joakim
Mishra, SagarikaORCID iD for Mishra, Sagarika orcid.org/0000-0003-0590-225X
Publication date 2014
Series School Working Paper - Financial Econometrics Series ; SWP 2014/15
Total pages 22
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) Panel data
Common factor model
Information criterion
Data-driven penalty
RePEc:dkn:ecomet:fe_2014_15
Language eng
HERDC Research category CN.1 Other journal article
Copyright notice ©2014, The Authors
Persistent URL http://hdl.handle.net/10536/DRO/DU:30106652

Document type: Report
Collection: RePEc Working Papers
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 3 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Tue, 06 Mar 2018, 14:20:36 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.