GrFA (version 0.2.2)

est_num: Estimate Factor Numbers

Description

Estimates the number of factors using various Information Criteria (IC) and Eigenvalue Ratio tests.

Usage

est_num(X, kmax = 8, type = "BIC3")

Value

rhat

The estimated number of factors (an integer).

Arguments

X

The observation data matrix of dimension \(T \times N\).

kmax

The maximum number of factors to consider. Default is 8.

type

The criterion used in determining the number of factors. Default is "BIC3". Options: "PC1", "PC2", "PC3", "IC1", "IC2", "IC3", "AIC3", "BIC3", "ER", "GR".

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Ahn, S. C., & Horenstein, A. R. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81(3), 1203-1227.

Examples

if (FALSE) {
X <- matrix(rnorm(100*20), 100, 20)
est_num(X, kmax = 8, type = "BIC3")
est_num(X, kmax = 8, type = "ER")
}