Order Determination of Large Dimensional Dynamic Factor Model

Z. D. Bai, Chen Wang, Ya Xue +1

Consider the following dynamic factor model: ${\mathbf{R}}_t={\sum }_{i=0}^q{\mathbf{\Lambda }}_i{\mathbf{f}}_{t-i}+{\mathbf{e}}_t,t=1,...,T$, where ${\mathbf{\Lambda }}_i$ is an $n\times k$ loading matrix of…