Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
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Publication:3518455
DOI10.1080/07474930801960196zbMath1482.62064WikidataQ115042067 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
62H25: Factor analysis and principal components; correspondence analysis
62H20: Measures of association (correlation, canonical correlation, etc.)
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Estimation of high-dimensional linear factor models with grouped variables, Information, data dimension and factor structure, Information Theoretic and Entropy Methods: An Overview
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