apc: Factor Model of Balanced Panel Data

In cykbennie/fbi: Factor-Based Imputation and FRED-MD/QD Data Set

Factor Model of Balanced Panel Data

Description

apc estimates the factor model of a given balanced panel data.

Usage

apc(X, kmax)

Arguments

X	a matrix of size T by N.
kmax	integer, indicating the maximum number of factors.

Value

a list of elements:

X	the original data
kmax	the maximum number of factors
Fhat	estimated F
Lamhat	estimated Lambda
Chat	equals Fhat x Lamhat'
Dhat	estimated diagonal matrix D, of dim kmax by kmax
d	first kmax elements of Dhat
d0	diagonal elements of Dhat
ehat	equals X - Chat

Author(s)

Yankang (Bennie) Chen <[e-mail]>

Serena Ng <[e-mail]>

Jushan Bai <[e-mail]>

References

Jushan Bai and Serena Ng (2002), Determining the number of factors in approximate factor models. https://doi.org/10.1111/1468-0262.00273

cykbennie/fbi documentation built on Jan. 24, 2025, 5:59 p.m.