GCCfactor (version 1.0.1)

AsymCI_local_loading: Get an asymptotic confidence interval for the local component

Description

This function computes the asymptotic confidence intervals for the local loadings for the \(j\)-th individual in block \(i\). See Lin and Shin (2023) for details.

Usage

AsymCI_local_loading(object, i, j, alpha = 0.05)

Value

A matrix containing the upper and lower band.

Arguments

object

An S3 object of class 'multi_result' created by multilevel().

i

An integer indicating the \(i\)-th block.

j

An integer indicating the \(j\)-th individual in the \(i\)-th block.

alpha

The significance level, a single numeric between 0 and 1. 0.05 by default.

References

Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.

Examples

# \donttest{
panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
bs_local_loading_11 <- AsymCI_local_loading(est_multi, i = 1, j = 1)
# }