get_ic: Find optimal number of factors in a factor model.

In h4sci/packagr: Estimation of a Bayesian Dynamic Factor Model

Description

create_inventory constructs the Eigenvalue Ratio Test and Growth Ratio Test according to Ahn, Horenstein (2013), page 1207

Usage

get_ic(Xmat)

Arguments

Xmat	A data set containing all the time series.

Details

The function calculates the principal components of the data set. It creates a screeplot of the principal components. Further, it calculates the optimal number of factors of the factor model according to the Eigenvalue Ratio Test and Growth Ratio Test of Ahn, Horenstein (2013), page 1207. The maximam number of factors is set to 10.

Value

A List:

• ER_number Optimal number of factors according to Eigenvalue Ratio Test.

• GR_number Optimal number of factors according to Growth Ratio Test.

Examples

IC <- get_ic(Xmat)

h4sci/packagr documentation built on Jan. 7, 2021, 10:40 p.m.