{"id":"https://openalex.org/W2525653591","doi":"https://doi.org/10.1007/s00181-016-1158-5","title":"Determining the number of factors after stationary univariate transformations","display_name":"Determining the number of factors after stationary univariate transformations","publication_year":2016,"publication_date":"2016-09-27","ids":{"openalex":"https://openalex.org/W2525653591","doi":"https://doi.org/10.1007/s00181-016-1158-5","mag":"2525653591"},"language":"en","primary_location":{"id":"doi:10.1007/s00181-016-1158-5","doi":"https://doi.org/10.1007/s00181-016-1158-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00181-016-1158-5","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00181-016-1158-5.pdf","source":{"id":"https://openalex.org/S178258306","display_name":"Empirical Economics","issn_l":"0377-7332","issn":["0377-7332","1435-8921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Empirical Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00181-016-1158-5.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010013512","display_name":"Francisco Corona","orcid":"https://orcid.org/0000-0001-9514-301X","observed_orcids":["https://orcid.org/0000-0001-9514-301X"]},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Francisco Corona","raw_affiliation_strings":["Department of Statistics, Universidad Carlos III de Madrid, Calle Madrid, 126, 28903, Getafe, Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, Universidad Carlos III de Madrid, Calle Madrid, 126, 28903, Getafe, Madrid, Spain","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5063515078","display_name":"Pilar Poncela","orcid":"https://orcid.org/0000-0002-0848-3997","observed_orcids":["https://orcid.org/0000-0002-0848-3997"]},"institutions":[{"id":"https://openalex.org/I4210118689","display_name":"Joint Research Centre","ror":"https://ror.org/02qezmz13","country_code":"IT","type":"government","lineage":["https://openalex.org/I1320481043","https://openalex.org/I2800387288","https://openalex.org/I4210118689","https://openalex.org/I4210161702"]},{"id":"https://openalex.org/I63634437","display_name":"Universidad Aut\u00f3noma de Madrid","ror":"https://ror.org/01cby8j38","country_code":"ES","type":"education","lineage":["https://openalex.org/I63634437"]}],"countries":["ES","IT"],"is_corresponding":true,"raw_author_name":"Pilar Poncela","raw_affiliation_strings":["European Commission, Joint Research Centre (JRC), Via Enrico Fermi 2749, 21027, Ispra, VA, Italy","Universidad Aut\u00f3noma de Madrid, Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"European Commission, Joint Research Centre (JRC), Via Enrico Fermi 2749, 21027, Ispra, VA, Italy","institution_ids":["https://openalex.org/I4210118689"]},{"raw_affiliation_string":"Universidad Aut\u00f3noma de Madrid, Madrid, Spain","institution_ids":["https://openalex.org/I63634437"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5036810244","display_name":"Esther Ruiz","orcid":"https://orcid.org/0000-0002-5944-9449","observed_orcids":["https://orcid.org/0000-0002-5944-9449"]},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Esther Ruiz","raw_affiliation_strings":["Department of Statistics, Universidad Carlos III de Madrid, Calle Madrid, 126, 28903, Getafe, Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, Universidad Carlos III de Madrid, Calle Madrid, 126, 28903, Getafe, Madrid, Spain","institution_ids":["https://openalex.org/I50357001"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5063515078"],"corresponding_institution_ids":["https://openalex.org/I4210118689","https://openalex.org/I63634437"],"apc_list":{"value":3490,"currency":"USD","value_usd":3490},"apc_paid":{"value":3490,"currency":"USD","value_usd":3490},"fwci":2.0328,"has_fulltext":true,"cited_by_count":16,"citation_normalized_percentile":{"value":0.87428186,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"53","issue":"1","first_page":"351","last_page":"372"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.27639999985694885,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.27639999985694885,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13141","display_name":"Statistical Methods and Applications","score":0.18119999766349792,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.11580000072717667,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/number-of-factors","display_name":"number of factors","score":0.7459999918937683},{"id":"https://openalex.org/keywords/common-factor-model","display_name":"common factor model","score":0.7519999742507935},{"id":"https://openalex.org/keywords/nonstationary-time-series","display_name":"non-stationary time series","score":0.9350000023841858},{"id":"https://openalex.org/keywords/differencing","display_name":"differencing","score":0.6019999980926514},{"id":"https://openalex.org/keywords/information-criteria","display_name":"information criteria","score":0.6629999876022339},{"id":"https://openalex.org/keywords/eigenvalue-ratio","display_name":"eigenvalue ratio","score":0.8389999866485596},{"id":"https://openalex.org/keywords/finite-sample-properties","display_name":"finite sample properties","score":0.8560000061988831},{"id":"https://openalex.org/keywords/inflation-rate","display_name":"inflation rate","score":0.8180000185966492},{"id":"https://openalex.org/keywords/euro-area","display_name":"euro area","score":0.9539999961853027}],"concepts":[{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.8102003335952759},{"id":"https://openalex.org/C155702961","wikidata":"https://www.wikidata.org/wiki/Q5318975","display_name":"Dynamic factor","level":2,"score":0.6363111734390259},{"id":"https://openalex.org/C200941418","wikidata":"https://www.wikidata.org/wiki/Q273508","display_name":"Inflation (cosmology)","level":2,"score":0.60908442735672},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.6086167693138123},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.594152569770813},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5508992671966553},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5318626165390015},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5083023905754089},{"id":"https://openalex.org/C158693339","wikidata":"https://www.wikidata.org/wiki/Q190524","display_name":"Eigenvalues and eigenvectors","level":2,"score":0.4964180588722229},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.4821333587169647},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.4659572243690491},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.43243739008903503},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.08890798687934875},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C33332235","wikidata":"https://www.wikidata.org/wiki/Q18362","display_name":"Theoretical physics","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s00181-016-1158-5","doi":"https://doi.org/10.1007/s00181-016-1158-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00181-016-1158-5","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00181-016-1158-5.pdf","source":{"id":"https://openalex.org/S178258306","display_name":"Empirical Economics","issn_l":"0377-7332","issn":["0377-7332","1435-8921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Empirical Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00181-016-1158-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:e-archivo.uc3m.es:10016/22332","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10016/22332","pdf_url":null,"source":{"id":"https://openalex.org/S4306400817","display_name":"e-Archivo (Carlos III University of Madrid)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I50357001","host_organization_name":"Universidad Carlos III de Madrid","host_organization_lineage":["https://openalex.org/I50357001"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/workingPaper"},{"id":"pmh:oai:publications.jrc.ec.europa.eu:JRC102556","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/article/10.1007/s00181-016-1158-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401126","display_name":"Joint Research Centre (European Commission)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I2800387288","host_organization_name":"European Commission","host_organization_lineage":["https://openalex.org/I2800387288"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Articles in periodicals and books"}],"best_oa_location":{"id":"doi:10.1007/s00181-016-1158-5","doi":"https://doi.org/10.1007/s00181-016-1158-5","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00181-016-1158-5","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00181-016-1158-5.pdf","source":{"id":"https://openalex.org/S178258306","display_name":"Empirical Economics","issn_l":"0377-7332","issn":["0377-7332","1435-8921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Empirical Economics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2525653591.pdf","grobid_xml":"https://content.openalex.org/works/W2525653591.grobid-xml"},"referenced_works_count":44,"referenced_works":["https://openalex.org/W966129493","https://openalex.org/W1528512439","https://openalex.org/W1548509786","https://openalex.org/W1573414451","https://openalex.org/W1593060747","https://openalex.org/W1593748280","https://openalex.org/W1597582788","https://openalex.org/W1936753747","https://openalex.org/W1970562500","https://openalex.org/W1975395389","https://openalex.org/W1975570699","https://openalex.org/W1977636215","https://openalex.org/W1987476114","https://openalex.org/W1989672512","https://openalex.org/W2000310113","https://openalex.org/W2011680190","https://openalex.org/W2014165366","https://openalex.org/W2030677701","https://openalex.org/W2034409325","https://openalex.org/W2068185035","https://openalex.org/W2079563517","https://openalex.org/W2081940416","https://openalex.org/W2093245752","https://openalex.org/W2109724895","https://openalex.org/W2110285888","https://openalex.org/W2110383584","https://openalex.org/W2126716348","https://openalex.org/W2131063319","https://openalex.org/W2141635270","https://openalex.org/W2143118386","https://openalex.org/W2145134598","https://openalex.org/W2145902427","https://openalex.org/W2146661536","https://openalex.org/W2152481464","https://openalex.org/W2157400927","https://openalex.org/W2164013319","https://openalex.org/W2164092639","https://openalex.org/W2170202041","https://openalex.org/W2237424627","https://openalex.org/W2297398388","https://openalex.org/W2465631214","https://openalex.org/W2600668304","https://openalex.org/W3122205792","https://openalex.org/W4252438686"],"related_works":["https://openalex.org/W2763813168","https://openalex.org/W4400059068","https://openalex.org/W2038386801","https://openalex.org/W2789397688","https://openalex.org/W2917545312","https://openalex.org/W2807638074","https://openalex.org/W16887662","https://openalex.org/W1975395389","https://openalex.org/W7096303967","https://openalex.org/W7100898761"],"abstract_inverted_index":{"A":[0],"very":[1],"common":[2,33,172],"practice":[3],"when":[4,115],"extracting":[5],"factors":[6,146,173],"from":[7],"non-stationary":[8,150],"multivariate":[9],"time":[10],"series":[11],"is":[12],"to":[13,42,64,117,167],"differentiate":[14],"each":[15],"variable":[16],"in":[17,147,174,180],"the":[18,23,28,32,43,51,57,66,74,85,97,123,130,140,143,148,164,169],"system.":[19],"As":[20],"a":[21,175],"consequence,":[22],"ratio":[24],"between":[25,125],"variances":[26,126],"and":[27,34,79,96,104,127,133,158],"dynamic":[29],"dependence":[30],"of":[31,53,61,68,77,88,99,112,129,142,145,155,171,177],"idiosyncratic":[35,134],"differentiated":[36,118,131],"components":[37],"may":[38],"change":[39],"with":[40],"respect":[41],"original":[44,149],"components.":[45],"In":[46,70],"this":[47],"paper,":[48],"we":[49,72,137,162],"analyze":[50,139],"effects":[52],"these":[54,113],"changes":[55],"on":[56,121],"finite":[58],"sample":[59],"properties":[60],"several":[62],"procedures":[63,114,166],"determine":[65,168],"number":[67,144,170],"factors.":[69],"particular,":[71],"consider":[73],"information":[75],"criteria":[76],"Bai":[78],"Ng":[80],"(Econometrica":[81,106],"70(1):191\u2013221,":[82],"2002":[83],"),":[84],"edge":[86],"distribution":[87],"Onatski":[89],"(Rev":[90],"Econ":[91],"Stat":[92],"92(4):1004\u20131016,":[93],"2010":[94],")":[95],"ratios":[98,124],"eigenvalues":[100],"proposed":[101],"by":[102],"Ahn":[103],"Horenstein":[105],"81(3):1203\u20131227,":[107],"2013":[108],").":[109],"The":[110],"performance":[111],"implemented":[116],"variables":[119],"depends":[120],"both":[122],"dependencies":[128],"factor":[132],"noises.":[135],"Furthermore,":[136],"also":[138],"role":[141],"system":[151,176],"as":[152,154],"well":[153],"its":[156],"temporal":[157],"cross-sectional":[159],"dimensions.":[160],"Finally,":[161],"implement":[163],"different":[165],"inflation":[178],"rates":[179],"15":[181],"euro":[182],"area":[183],"countries.":[184]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-10-07T00:00:00"}