baingcriterion: Bai & Ng information criteria for determining the number of...

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Bai & Ng information criteria for determining the number of static factors

Description

This function calculates two different information criteria for determining the number of static factors, which were introduced in Bai & Ng (2002). The function gives two different sets of information criteria (IC and PC), which use three different penalty functions to take into account the increased complexity of the model.

Usage

baingcriterion(X, rmax, rvar = NULL)

Arguments

X	T x N data matrix
rmax	maximum number of static factors to be considered
rvar	fix penalty function scaling term, defaults to rvar=rmax

Value

lists of IC and PC, where the values indicate the suggested number of factors

See Also

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

Examples

(bn1 <- baingcriterion(X = FRED_heavy$df, 25))
(bn2 <- baingcriterion(X = FRED_light$df, 25))

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.