Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel
展示如何修改Bai-Ng估计量，使其能一致估计受限动态因子模型中的动态因子数量，方法是将标准估计量应用于对静态因子主成分估计的滞后值进行投影后的残差。
Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components estimates of the static factors.