Determining the number of factors in approximate factor models by twice K-fold cross validation

被引:13
|
作者
Wei, Jie [1 ]
Chen, Hui [1 ]
机构
[1] Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Hubei, Peoples R China
基金
美国国家科学基金会;
关键词
Approximate factor models; K-fold cross validation; Consistency; Finite sample performance;
D O I
10.1016/j.econlet.2020.109149
中图分类号
F [经济];
学科分类号
02 ;
摘要
We propose a data driven determination method of the number of factors by cross validation (CV) in approximate factor models. A K-fold CV is applied along each of the two directions (individual and time) of a panel dataset. We prove the consistency of the proposed twice K-fold CV under mild conditions. Monte Carlo simulations demonstrate superior and robust performance of our selection method in comparison with existing approaches, especially at small panels with moderate units or time lengths. An empirical application to identify factor numbers in the UK is provided. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数:6
相关论文
共 50 条
  • [41] PLS/OPLS models in metabolomics: the impact of permutation of dataset rows on the K-fold cross-validation quality parameters
    Triba, Mohamed N.
    Le Moyec, Laurence
    Amathieu, Roland
    Goossens, Corentine
    Bouchemal, Nadia
    Nahon, Pierre
    Rutledge, Douglas N.
    Savarin, Philippe
    MOLECULAR BIOSYSTEMS, 2015, 11 (01) : 13 - 19
  • [42] On the use of the observation-wise k-fold operation in PCA cross-validation
    Saccenti, Edoardo
    Camacho, Jose
    JOURNAL OF CHEMOMETRICS, 2015, 29 (08) : 467 - 478
  • [43] Performance improvement of empirical models for estimation of global solar radiation in India: A k-fold cross-validation approach
    Saud, Sheikh
    Jamil, Basharat
    Upadhyay, Yogesh
    Irshad, Kashif
    SUSTAINABLE ENERGY TECHNOLOGIES AND ASSESSMENTS, 2020, 40
  • [44] What is an optimal value of k in k-fold cross-validation in discrete Bayesian network analysis?
    Marcot, Bruce G.
    Hanea, Anca M.
    COMPUTATIONAL STATISTICS, 2021, 36 (03) : 2009 - 2031
  • [45] What is an optimal value of k in k-fold cross-validation in discrete Bayesian network analysis?
    Bruce G. Marcot
    Anca M. Hanea
    Computational Statistics, 2021, 36 : 2009 - 2031
  • [46] Performance evaluation of classification algorithms by k-fold and leave-one-out cross validation
    Wong, Tzu-Tsung
    PATTERN RECOGNITION, 2015, 48 (09) : 2839 - 2846
  • [47] Modeling of Flue Gas Path System for Desulfurization in Power Plant with k-Fold Cross Validation
    Tongbarn, Teerayuth
    Kaewkham-ai, Boonsri
    Uthaichana, Kasemsak
    2014 13TH INTERNATIONAL CONFERENCE ON CONTROL AUTOMATION ROBOTICS & VISION (ICARCV), 2014, : 734 - 739
  • [48] An Efficient Implementation of Artificial Neural Networks with K-fold Cross-validation for Process Optimization
    Srinivasan, Kathiravan
    Cherukuri, Aswani Kumar
    Vincent, Durai Raj
    Garg, Ashish
    Chen, Bor-Yann
    JOURNAL OF INTERNET TECHNOLOGY, 2019, 20 (04): : 1213 - 1225
  • [49] Precision Healing: Transforming Spinal Wellness with Neural Precision and K-fold Cross-validation
    Anjum, Ayesha
    Shivapur, Seema
    Sharieff, Arfath Ahmed
    Aziz, Faizan
    Tabassum, Husna
    2ND INTERNATIONAL CONFERENCE ON SUSTAINABLE COMPUTING AND SMART SYSTEMS, ICSCSS 2024, 2024, : 1452 - 1457
  • [50] A novel Harris hawks’ optimization and k-fold cross-validation predicting slope stability
    Hossein Moayedi
    Abdolreza Osouli
    Hoang Nguyen
    Ahmad Safuan A. Rashid
    Engineering with Computers, 2021, 37 : 369 - 379