AsymCI_local_loading: Get an asymptotic confidence interval for the local component

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Get an asymptotic confidence interval for the local component

Description

This function computes the asymptotic confidence intervals for the local loadings for the j-th individual in block i. See Lin and Shin (2023) for details.

Usage

AsymCI_local_loading(object, i, j, alpha = 0.05)

Arguments

object	An S3 object of class 'multi_result' created by multilevel().
i	An integer indicating the i-th block.
j	An integer indicating the j-th individual in the i-th block.
alpha	The significance level, a single numeric between 0 and 1. 0.05 by default.

Value

A matrix containing the upper and lower band.

References

Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
bs_local_loading_11 <- AsymCI_local_loading(est_multi, i = 1, j = 1)

GCCfactor documentation built on Nov. 2, 2023, 5:59 p.m.