est_num: Estimate Factor Numbers

In GrFA: Group Factor Analysis

Estimate Factor Numbers

Description

Estimates the number of factors using various Information Criteria (IC) and Eigenvalue Ratio tests.

Usage

est_num(X, kmax = 8, type = "BIC3")

Arguments

X	The observation data matrix of dimension T \times N.
kmax	The maximum number of factors to consider. Default is 8.
type	The criterion used in determining the number of factors. Default is "BIC3". Options: "PC1", "PC2", "PC3", "IC1", "IC2", "IC3", "AIC3", "BIC3", "ER", "GR".

Value

rhat	The estimated number of factors (an integer).

References

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

Ahn, S. C., & Horenstein, A. R. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81(3), 1203-1227.

Examples

## Not run: 
X <- matrix(rnorm(100*20), 100, 20)
est_num(X, kmax = 8, type = "BIC3")
est_num(X, kmax = 8, type = "ER")

## End(Not run)

GrFA documentation built on Dec. 7, 2025, 1:07 a.m.