Several group factor analysis algorithms are implemented, including Canonical Correlation-based Estimation by Choi et al. (2021) <doi:10.1016/j.jeconom.2021.09.008> , Generalised Canonical Correlation Estimation by Lin and Shin (2023) <doi:10.2139/ssrn.4295429>, Circularly Projected Estimation by Chen (2022) <doi:10.1080/07350015.2022.2051520>, and Aggregated projection method.

Jiaqi Hu

GrFA

Group Factor Analysis

Ting Li

Xueqin Wang

FA function

<dl> <dt>X</dt>
<dd>the observation data matrix of dimension \(T\times N\).</dd> <dt>r</dt>
<dd>the factor numbers need to estimated.</dd></dl>

Arguments

Author

Factor analysis — FA

<dl>

 <dt>X</dt>
<dd>the observation data matrix of dimension \(T\times N\).</dd>

 <dt>r</dt>
<dd>the factor numbers need to estimated.</dd>

</dl>

FA: Factor analysis

Description

Usage

Value

Arguments

Author

References