run_config

The function estimates beta, group membership and the common and group specific factorstructures for one configuration.

Robust Clustering of Time Series (RCTS) has the functionality to cluster time series using both the classical and the robust interactive fixed effects framework.
The classical framework is developed in Ando & Bai (2017) <doi:10.1080/01621459.2016.1195743>. The implementation within this package excludes the SCAD-penalty on the estimations of beta.
This robust framework is developed in Boudt & Heyndels (2022) <doi:10.1016/j.ecosta.2022.01.002> and is made robust against different kinds of outliers.
The algorithm iteratively updates beta (the coefficients of the observable variables), group membership, and the latent factors (which can be common and/or group-specific) along
with their loadings. The number of groups and factors can be estimated if they are unknown.

Ewoud Heyndels

RCTS

Clustering Time Series While Resisting Outliers

run_config function

<dl><dt>robust</dt>
<dd>TRUE or FALSE: defines using the classical or robust algorithm to estimate beta</dd>
<dt>config</dt>
<dd>contains one configuration of groups and factors</dd>
<dt>C_candidates</dt>
<dd>candidates for C (parameter in PIC)</dd>
<dt>Y</dt>
<dd>Y: NxT dataframe with the panel data of interest</dd>
<dt>X</dt>
<dd>X: NxTxp array containing the observable variables</dd>
<dt>choice_pic</dt>
<dd>indicates which PIC to use to estimate the number of groups and factors:
options are "pic2017" (uses the PIC of Ando2017;textualRCTS; works better for large N),
"pic2016" (Ando2016;textualRCTS; works better for large T) weighs the fourth term with an extra factor relative to the size of the groups,
and "pic2022" which shrinks the NT-space where the number of groups and factors would be over- or underestimated compared to pic2016 and pic2017.</dd>
<dt>maxit</dt>
<dd>maximum limit for the number of iterations</dd></dl>

Arguments

Wrapper around the non-parallel algorithm, to estimate beta, group membership and the factorstructures. — run_config

<dl>

<dt>robust</dt>
<dd>TRUE or FALSE: defines using the classical or robust algorithm to estimate beta</dd>


<dt>config</dt>
<dd>contains one configuration of groups and factors</dd>


<dt>C_candidates</dt>
<dd>candidates for C (parameter in PIC)</dd>


<dt>Y</dt>
<dd>Y: NxT dataframe with the panel data of interest</dd>


<dt>X</dt>
<dd>X: NxTxp array containing the observable variables</dd>


<dt>choice_pic</dt>
<dd>indicates which PIC to use to estimate the number of groups and factors:
options are "pic2017" (uses the PIC of Ando2017;textualRCTS; works better for large N),
"pic2016" (Ando2016;textualRCTS; works better for large T) weighs the fourth term with an extra factor relative to the size of the groups,
and "pic2022" which shrinks the NT-space where the number of groups and factors would be over- or underestimated compared to pic2016 and pic2017.</dd>


<dt>maxit</dt>
<dd>maximum limit for the number of iterations</dd>

</dl>

run_config: Wrapper around the non-parallel algorithm, to estimate beta, group membership and the factorstructures.

Description

Usage

Value

Arguments