Determining the number of factors in the general dynamic factor model

Journal of the American Statistical Association

Volumn 102, Issue 478, 2007, Pages 603-617

  Hallin, Marc ^a   Liška, Roman ^b  

^a Department of Mathematics ^*  (Belgium)

^b FREE UNIVERSITY OF BRUSSELS   (Belgium)

Author keywords

Dynamic factor model; Dynamic principal components; Information criterion

Indexed keywords

EID: 34250778808     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214506000001275     Document Type: Article

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