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GCCfactor (version 1.1.0)

GCC Estimation of the Multilevel Factor Model

Description

Provides methods for model selection, estimation, 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 (2025) .

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Version

Install

install.packages('GCCfactor')

Monthly Downloads

237

Version

1.1.0

License

GPL (>= 3)

Maintainer

Rui Lin

Last Published

June 27th, 2025

Functions in GCCfactor (1.1.0)

panel2list

data.frame to list of data matrices
vcov_global_loading

Get the covariance estimates for the global factor loadings
vcov_local_comp

Get the variance estimates of the local component
multilevel

Full estimation of the multilevel factor model
GCC

Generalised canonical correlation estimation for the global factors
PC

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

Get the variance estimates of the global component
summary.multi_result

Print the relative importance ratios
vcov_global_factor

Get the covariance estimates for the global factors
infocrit

Selection criteria for the approximate factor model
UKhouse

England and Wales House Price Growth Data Categorised by Regions
check_data

Check validity of the data and headers
vcov_local_factor

Get the covariance estimates for the local factors
vcov_local_loading

Get the covariance estimates for the local factor loadings