Eigenvalue Ratio Test for the Number of Factors
提出两种新估计量，通过最大化相邻特征值的比值来确定静态近似因子模型中的因子数量，模拟结果表现良好。
This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r largest eigenvalues of the variance matrix of N response variables grow unboundedly as N increases, while the other eigenvalues remain bounded. The new estimators are obtained simply by maximizing the ratio of two adjacent eigenvalues. Our simulation results provide promising evidence for the two estimators.