Information, data dimension and factor structure

JOURNAL OF MULTIVARIATE ANALYSIS

卷:106

Article

Jacobs, Jan P. A. M.¹ 

[1] Univ Groningen, Fac Econ & Business, NL-9700 AV Groningen, Netherlands

关键词: Kullback-Leibler numbers;    Information;    Factor structure;    Data set dimension;    Dynamic factor models;    Leading index;   

DOI  :  10.1016/j.jmva.2011.11.003

来源: Elsevier

【 摘 要 】

This paper employs concepts from information theory for choosing the dimension of a data set. We propose a relative information measure connected to Kullback-Leibler numbers. By ordering the series of the data set according to the measure, we are able to obtain a subset of a data set that is most informative. The method can be used as a first step in the construction of a dynamic factor model or a leading index, as illustrated with a Monte Carlo study and with the US macroeconomic data set of Stock and Watson [20]. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free