pc: Principle Component Analysis for PANIC (2004)
In Stevo15025/PANICr: PANIC Tests of Nonstationarity
pc R Documentation
Principle Component Analysis for PANIC (2004)
Description
This function performs the principle component analysis in order to determine
the Common and Idiosyncratic Components of the factor model.
Usage
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
Stevo15025/PANICr documentation built on Sept. 7, 2024, 4:30 p.m.
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| pc | R Documentation |
Principle Component Analysis for PANIC (2004)
Description
This function performs the principle component analysis in order to determine the Common and Idiosyncratic Components of the factor model.
Usage
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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