This article proposes a solution to one of the issues in the rapidly growing literature on dynamic factor models, i.e., how to determine the optimal number of factors. Our formal test, based upon the canonical correlation procedure related to concepts from information theory, produces estimates of the number of factors and the lag order simultaneously. Simulation experiments illustrate the Potential of our approach
As a method to ascertain the structure of intra-individual variation, P-technique has met difficulti...
In this paper, we derive identification results for the number of factors and lags in high dimension...
This paper employs concepts from information theory in factor models. We show that in the exact fact...
This article proposes a solution to one of the issues in the rapidly growing literature on dynamic f...
In this article, we propose a selection procedure that allows us to consistently estimate the number...
This article develops an information criterion for determining the number q of common shocks in the ...
International audienceThis article presents a new method for the study of the evolution of dynamic s...
The dynamic factor model proposed by Stock and Watson (1989) has been widely used in that it can exp...
The main objective of this work is to propose new procedures for the general dynamic factor analysis...
The main objective of this work is to propose new procedures for the general dynamic factor analysis...
The maximum entropy problem for autocovariances given over a class of subsets of is solved. A more g...
In factor analysis, factor contributions of latent variables are assessed conventionally by the sums...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static f...
A novel method for determining the set of parameters for a phase space representation of a time seri...
As a method to ascertain the structure of intra-individual variation, P-technique has met difficulti...
In this paper, we derive identification results for the number of factors and lags in high dimension...
This paper employs concepts from information theory in factor models. We show that in the exact fact...
This article proposes a solution to one of the issues in the rapidly growing literature on dynamic f...
In this article, we propose a selection procedure that allows us to consistently estimate the number...
This article develops an information criterion for determining the number q of common shocks in the ...
International audienceThis article presents a new method for the study of the evolution of dynamic s...
The dynamic factor model proposed by Stock and Watson (1989) has been widely used in that it can exp...
The main objective of this work is to propose new procedures for the general dynamic factor analysis...
The main objective of this work is to propose new procedures for the general dynamic factor analysis...
The maximum entropy problem for autocovariances given over a class of subsets of is solved. A more g...
In factor analysis, factor contributions of latent variables are assessed conventionally by the sums...
The procedure proposed by Bai and Ng (2002) for identifying the number of factors in static factor m...
We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static f...
A novel method for determining the set of parameters for a phase space representation of a time seri...
As a method to ascertain the structure of intra-individual variation, P-technique has met difficulti...
In this paper, we derive identification results for the number of factors and lags in high dimension...
This paper employs concepts from information theory in factor models. We show that in the exact fact...