getK: Estimate the number of common factors K

In sufficientForecasting: Sufficient Forecasting using Factor Models

Estimate the number of common factors K

Description

Estimate the number of common factors K

Usage

getK(y, X, Kmax = 12)

Arguments

y	Response, T by 1 vector
X	Predictors, p by T matrix
Kmax	A prescribed upper bound that possibly increases with p and T (default = 12)

Value

Estimate of K

References

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

Li, H., Li, Q. and Shi, Y. (2017), Determining the number of factors when the number of factors can increase with sample size, Journal of Econometrics 197(1), 76–86.

sufficientForecasting documentation built on March 7, 2023, 6:13 p.m.