Minimizes the selected information criterion to determine the number of factors to be used in an approximate factor model.
ICfactors(x, rmax = 20, type = 2)a dataset;
a positive integer corresponding to the maximum number of factors for which the information criterion should be tested;
a positive integer corresponding to the chosen information criterion (1,2,3). The default is 2.
A list containing two elements:
The number of factors minimizing the information criterion;
A vector of values of the information criterion for the number of factors within the selected range.
Bai, J., Ng, S. (2002). Determining the Number of Factors in Approximate Factor Models. Econometrica, 70(1), 191-221. <doi:10.1111/1468-0262.00273>