GCCfactor: GCC Estimation of the Multilevel Factor Model

Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) <doi:10.2139/ssrn.4295429>.

Getting started

Package details

AuthorRui Lin [aut, cre], Yongcheol Shin [aut]
MaintainerRui Lin <ruilin1081@gmail.com>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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GCCfactor documentation built on Nov. 2, 2023, 5:59 p.m.