Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach

DOI10.1080/07474930801960196zbMath1482.62064OpenAlexW2011680190WikidataQ115042067 ScholiaQ115042067MaRDI QIDQ3518455

Jan P. A. M. Jacobs, Pieter W. Otter

Publication date: 8 August 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930801960196

zbMATH Keywords

model selectionfactor analysiscanonical correlation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Information Theoretic and Entropy Methods: An Overview ⋮ Estimation of high-dimensional linear factor models with grouped variables ⋮ Information, data dimension and factor structure

Cites Work

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• Determining the Number of Factors in the General Dynamic Factor Model
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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