arXiv 20 Jun 2026 · Econometrics
arXiv:2606.26142 · PDF · DOI · OpenAlex · Extracted main text
We propose two procedures for determining the number of dynamic factors, extending Bai and Ng (2002) and Ahn and Horenstein (2013) to dynamic factor models where lagged factors may directly influence the observed variables. As an intermediate step, we develop a simple and computationally efficient alternating least squares algorithm that directly estimates the dynamic factors, rather than their static representations. By working with these direct estimates, our approach enables joint determination of the number of factors and the filter length. Our test is shown to be consistent under weaker conditions than those in Bai and Ng (2007) and Amengual and Watson (2007). We apply our procedures to estimate the number of primitive shocks in a large panel of US macroeconomic time series.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai, Jushan and Ng, Serena (2002) Determining the Number of Factors in Approximate Factor Models | 1.000 | 17 | 6 | 100% |
| 2 | Jushan Bai and Serena Ng (2007) Determining the Number of Primitive Shocks in Factor Models | 1.000 | 14 | 5 | 100% |
| 3 | Dante Amengual and Mark W. Watson (2007) Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel | 1.000 | 13 | 4 | 100% |
| 4 | Ahn, Seung C. and Horenstein, Alex R (2013) Eigenvalue Ratio Test for the Number of Factors | 1.000 | 12 | 6 | 100% |
| 5 | Forni and Reichlin, Lucrezia and Hallin, Marc and Lippi, Marco (2000) The Generalized Dynamic-Factor Model: Identification And Estimation | 1.000 | 5 | 3 | 100% |
| 6 | Michael W. McCracken and Serena Ng (2015) FRED-MD: A Monthly Database for Macroeconomic Research | 0.843 | 4 | 3 | 75% |
| 7 | Alexei Onatski (2010) DETERMINING THE NUMBER OF FACTORS FROM EMPIRICAL DISTRIBUTION OF EIGENVALUES | 0.737 | 3 | 2 | 100% |
| 8 | Bai, Jushan (2003) Inferential Theory for Factor Models of Large Dimensions | 0.644 | 2 | 2 | 100% |
| 9 | Jushan Bai and Serena Ng (2023) Approximate factor models with weaker loadings | 0.644 | 2 | 2 | 100% |
| 10 | Mario Forni and Marc Hallin and Marco Lippi and Paolo Zaffaroni (2017) Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 22 scored citations.