Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
提出一种基于信息论中典型相关过程的形式检验，可同时估计动态因子模型中的因子个数和滞后阶数，模拟实验展示了该方法的潜力。
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.