Description Usage Arguments Value References
The function gives the number of shocks that minimizes the information criterion.
1 |
x |
a dataset; |
r |
a positive integer corresponding to the number of factors; |
p |
a positive integer corresponding to the number of lags to be considered within the model. |
delta |
a real number within the range (0,1/2) for the sensitivity of the tolerance level to the size of the dataset; |
m |
a finite positive real number defining the tolerance level; |
A list
containing two elements:
q_star |
The number of shocks minimizing the information criterion; |
p |
The number of lags used. |
Bai, J., Ng, S. (2007). Determining the Number of Primitive Shocks in Factor Models. Journal of Business & Economic Statistics, 25(1), 52-60. <https://doi.org/10.1198/073500106000000413>
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