pc: Principle Component Analysis for PANIC (2004)
In PANICr: PANIC Tests of Nonstationarity
Description
Usage
Arguments
Value
Description
This function performs the principle component analysis in order to determine
the Common and Idiosyncratic Components of the factor model.
Usage
1
pc(y,nfac)
Arguments
y
An NxT matrix containing the data
nfac
An integer specifying the maximum number of factors allowed
while estimating the factor model.
Value
ehat A matrix with the Idiosyncratic component of the factor model
fhat A matrix with the factors of the approximate factor model
lambda A matrix with the factor loadings of the approximate factor model
PANICr documentation built on May 2, 2019, 4:40 a.m.
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Description Usage Arguments Value
Description
This function performs the principle component analysis in order to determine the Common and Idiosyncratic Components of the factor model.
Usage
1 | pc(y,nfac)
|
Arguments
y |
An NxT matrix containing the data |
nfac |
An integer specifying the maximum number of factors allowed while estimating the factor model. |
Value
ehat A matrix with the Idiosyncratic component of the factor model
fhat A matrix with the factors of the approximate factor model
lambda A matrix with the factor loadings of the approximate factor model
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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