Two new tests for the number of common dynamic factors
Biasco, Antonio Maria (A.A. 2021/2022) Two new tests for the number of common dynamic factors. Tesi di Laurea in Econometria per la finanza, Luiss Guido Carli, relatore Federico Carlo Eugenio Carlini, pp. 47. [Master's Degree Thesis]
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Abstract/Index
Building the model. Data generating process. Bai and Ng comparison. Canonical correlation analysis. The test. The model. The code. The simulation. Simulation design. Results and asymptotic gaussian distribution. Size and power of both tests.
References
Bibliografia: p. 45.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometria per la finanza |
| Thesis Supervisor: | Carlini, Federico Carlo Eugenio |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 04 Oct 2022 09:22 |
| Last Modified: | 04 Oct 2022 09:22 |
| URI: | https://tesi.luiss.it/id/eprint/33532 |
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