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Information, data dimension and factor structure

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Author Info
Jan Jacobs
Pieter Otter
Ard den Reijer

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Abstract

This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the `optimal' size of the data set, in particular whether an extra variable adds information. The methods can be used as a first step in the construction of a dynamic factor model or a leading index, as illustrated with a macroeconomic data set on The Netherlands.

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File URL: http://www.dnb.nl/binaries/Working%20Paper%20No1%20150-07_tcm46-164639.pdf
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Publisher Info
Paper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 150.

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Date of creation: Oct 2007
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Handle: RePEc:dnb:dnbwpp:150

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Web page: http://www.dnb.nl/en/
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Related research
Keywords: information; data set dimension; dynamic factor models; leading index.;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data

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This page was last updated on 2009-11-10.

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