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GCCfactor (version 1.0.1)

GCC Estimation of the Multilevel Factor Model

Description

Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) .

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Version

Install

install.packages('GCCfactor')

Monthly Downloads

222

Version

1.0.1

License

GPL (>= 3)

Maintainer

Rui Lin

Last Published

October 30th, 2023

Functions in GCCfactor (1.0.1)

dwBS

Dependent wild bootstrap for resampling time series
summary.multi_result

Print the relative importance ratios
BS_global_factor

Get bootstrap confidence intervals for the global factors
Bartlett

Bartlett kernel function
PC

Principal component (PC) estimation of the approximate factor model
GCC

Generalised canonical correlation estimation for the global factors
BS_global_comp

Get a bootstrap confidence interval for the global component
BS_local_comp

Get a bootstrap confidence interval for the global component
AsymCI_local_loading

Get an asymptotic confidence interval for the local component
check_data

Check validity of the data and headers
BS_global_loading

Get a bootstrap confidence interval for the global factor loadings
UKhouse

England and Wales House Price Growth Data Categorised by Regions
get_bw

Get an optimal bandwidth using Bartlett kernel
BS_local_factor

Get a bootstrap confidence interval for the local factors
infocrit

Selection criteria for the approximate factor model
multilevel

Full estimation of the multilevel factor model
panel2list

data.frame to list of data matrices