FA: Factor analysis

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FAR Documentation

Factor analysis

Description

Factor analysis.

Usage

FA(X, r)

Arguments

X

the observation data matrix of dimension T\times N.

r

the factor numbers need to estimated.

Value

F

the estimated factors.

L

the estimated factor loadings.

Author(s)

Jiaqi Hu

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.


GrFA documentation built on April 4, 2025, 2:09 a.m.

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