ICfactors: Information criteria for determining the number of factors in...

In nowcasting: Predicting Economic Variables using Dynamic Factor Models

Description

Minimizes the selected information criterion to determine the number of factors to be used in an approximate factor model.

Usage

ICfactors(x, rmax = 20, type = 2)

Arguments

x	a dataset;
rmax	a positive integer corresponding to the maximum number of factors for which the information criterion should be tested;
type	a positive integer corresponding to the chosen information criterion (1,2,3). The default is 2.

Value

A list containing two elements:

r_star	The number of factors minimizing the information criterion;
IC	A vector of values of the information criterion for the number of factors within the selected range.

References

Bai, J., Ng, S. (2002). Determining the Number of Factors in Approximate Factor Models. Econometrica, 70(1), 191-221. <doi:10.1111/1468-0262.00273>

nowcasting documentation built on Aug. 1, 2019, 9:04 a.m.