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Determining the number of factors after stationary univariate transformations
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2004A PANIC Attack on Unit Roots and Cointegration1,933 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
  • 2007Determining the Number of Factors in the General Dynamic Factor Model559 cited
  • 2006Determining the Number of Primitive Shocks in Factor Models540 cited
  • 2012Dynamic Factor Models468 cited
  • 2011The Oxford Handbook of Economic Forecasting456 cited
  • 2008Large Dimensional Factor Analysis410 cited
  • 2010Measuring forecast uncertainty by disagreement: The missing link362 cited
  • 2012Asymptotics of the principal components estimator of large factor models with weakly influential factors315 cited
  • 2012Generalized Shrinkage Methods for Forecasting Using Many Predictors302 cited
  • 2004Estimating cross-section common stochastic trends in nonstationary panel data

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299 cited
  • 2006Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel223 cited
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