Estimates the components of the factor structure for an input time series, such as loadings and factors, as well as estimating the number of factors.
get.factor.model(
z,
r.max = NULL,
ic = c("ah", "bn")[1],
ic.op = 2,
normalisation = TRUE
)a list containing
eigenvectors of z
eigenvalues of z
row-wise normalised z if(normalisation==TRUE)
estimated number of factors
maximum number of factors used
vector containing information criterion evaluated at r = 0, 1, ..., r.max
row-wise means of z
row-wise standard deviations of z
input ic
input ic.op
input data matrix, with each row representing the component time series
maximum allowed number of factors
estimator for the factor number; if(ic=='ah') eigenvalue ratio estimator of Ahn and Horenstein (2013) is used, if(ic=='bn') information criterion estimator of Bai and Ng (2002) is used
type of the estimator specified by ic
if(normalisation==TRUE) rows of z are normalised prior to factor analysis
S. C. Ahn and A. R. Horenstein (2013) Eigenvalue ratio test for the number of factors. Econometrica, vol. 81, pp. 1203--1227. J. Bai and S. Ng (2002) Determining the number of factors in approximate factor models. Econometrica, vol. 70, pp. 191--221.