RCTS (version 0.2.4)

calculate_lambda: calculates factor loadings of common factors

Description

calculates factor loadings of common factors

Usage

calculate_lambda(
  Y,
  X,
  beta_est,
  comfactor,
  factor_group,
  g,
  lgfg_list,
  k,
  kg,
  robust,
  method_estimate_beta,
  method_estimate_factors,
  verbose = FALSE,
  initialise = FALSE
)

Value

Returns a matrix where each row contains a common factor. If the number of estimated common factors equals zero, it returns a matrix with 1 row, containing zero's.

Arguments

Y

Y: NxT dataframe with the panel data of interest

X

X: NxTxp array containing the observable variables

beta_est

estimated values of beta

comfactor

common factors

factor_group

estimated group specific factors

g

Vector with group membership for all individuals

lgfg_list

This is a list (length number of groups) containing FgLg for every group.

k

number of common factors to be estimated

kg

number of group specific factors to be estimated

robust

TRUE or FALSE: defines using the classical or robust algorithm to estimate beta

method_estimate_beta

defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".

method_estimate_factors

defines method of robust estimaton of the factors: "macro", "pertmm" or "cz"

verbose

when TRUE, it prints messages

initialise

indicator of being in the initialisation phase