est_num

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

est_num function

<dl> <dt>X</dt>
<dd>the observation data matrix of dimension \(T\times N\).</dd> <dt>kmax</dt>
<dd>the maximum number of factors.</dd> <dt>type</dt>
<dd>the criterion used in determining the number of factors, default is <code>type = "BIC3"</code>, it can also be <code>"PC1", "PC2", "PC3", "IC1", "IC2","IC3", "AIC3", "BIC3", "ER", "GR"</code>.</dd></dl>

Arguments

Estimate factor numbers — est_num

<dl>

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

 <dt>kmax</dt>
<dd>the maximum number of factors.</dd>

 <dt>type</dt>
<dd>the criterion used in determining the number of factors, default is <code>type = "BIC3"</code>, it can also be <code>"PC1", "PC2", "PC3", "IC1", "IC2","IC3", "AIC3", "BIC3", "ER", "GR"</code>.</dd>

</dl>

est_num: Estimate factor numbers

Description

Usage

Value

Arguments

References