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The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity on large dimensional factor models a major preoccupation has been the development of tools for determining the number of factors needed for modelling. This paper provides builds on the work of Kapetaniosdoi:10.1198/jbes.2009.07239 fatcat:umtgkjnkrfdjbpkwtr37jtnb4q