EconPapers    
Economics at your fingertips  
 

On information in static and dynamic factor models

Pieter W. Otter and Jan Jacobs ()

No 200605, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research

Abstract: This paper employs concepts from information theory in factor models. We show that in the exact factor model the whole distribution of eigenvalues of the covariance matrix contributes to the information and not only the largest ones. In addition, we derive the condition that the first q say eigenvalues diverge whereas the rest remain bounded in the static model rather than having to assume it. Finally, we calculate information in static and dynamic factor models, which can be used to find the dimensions of the factor space. We illustrate the concepts with simulation experiments.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://irs.ub.rug.nl/ppn/074155113 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gro:rugccs:200605

Access Statistics for this paper

More papers in CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research Contact information at EDIRC.
Series data maintained by Hanneke Tamling ().

 
Page updated 2017-10-10
Handle: RePEc:gro:rugccs:200605