Determining the number of factors and lag order in dynamic factor models: A minimum entropy approach

Econometric Reviews

Volumn 27, Issue 4-6, 2008, Pages 385-397

  Jacobs, Jan P A M ^a   Otter, Pieter W ^a  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

Canonical correlation; Factor analysis; Model selection

Indexed keywords

EID: 45849132077     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930801960196     Document Type: Article

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