Information criteria for latent factor models: a study on factor pervasiveness and adaptivity

DOI10.1016/j.jeconom.2022.03.005OpenAlexW4224869626MaRDI QIDQ2688660

Xiao Guo, Yu Chen, Cheng Yong Tang

Publication date: 3 March 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.03.005

zbMATH Keywords

model selectionprincipal component analysisinformation criterialatent factor modelweak factors

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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