Description Usage Arguments Details Value Author(s) References Examples
Functions for the Estimation of the Factor Dimension
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | OptDim(Obj,
criteria = c("PC1", "PC2", "PC3", "BIC3",
"IC1", "IC2", "IC3",
"IPC1","IPC2", "IPC3",
"ABC.IC1", "ABC.IC2",
"KSS.C",
"ED", "ER", "GR"),
standardize = FALSE,
d.max,
sig2.hat,
spar,
level = 0.01,
c.grid = seq(0, 5, length.out = 128),
T.seq, n.seq)
|
Obj |
The function requires either a Txn matrix or an object with class "‘Eup"’ or "‘KSS"’. |
criteria |
A character vector that contains the desired criteria to be used. If it is left unspecified, the function returns the result of all 16 criteria. |
standardize |
logical. If |
d.max |
Maximal dimension used in the dimensionality-criteria of Bai
(2009). The default ( |
sig2.hat |
The squared standard deviation of the error-term required for the computation of some dimensionality criteria. The user can specify it in instead of |
spar |
Smoothing parameter used to calculate the criterion of Kneip, Sickles, and Song (2012). The default is |
level |
The significance level used for the criterion of Kneip, Sickles, and Song (2012). The default is 0.01. |
c.grid |
Required only for computing |
T.seq |
Required only for computing |
n.seq |
Required only for computing |
The function 'OptDim' allows for a comparison of the optimal factor dimensions obtained from different panel criteria (in total 13). This criteria are adjusted for panel data with diverging T and N.
'OptDim' returns an object of 'class' '"OptDim"' containing a list with the following components:
criteria: |
The name of the criteria specified by the user. |
PC1: |
If specified in |
PC2: |
If specified in |
PC3: |
If specified in |
IC1: |
If specified in |
IC2: |
If specified in |
IC3: |
If specified in |
IPC1: |
If specified in |
IPC2: |
If specified in |
IPC3: |
If specified in |
KSS.C: |
If specified in |
ED: |
If specified in |
ER: |
If specified in |
GR: |
If specified in |
summary: |
A table (in a matrix form) containing all the estimated dimensions obtained by the specified criteria. |
BaiNgC: |
A logical vector required for further internal computations. |
BaiC: |
A logical vector required for further internal computations. |
KSSC: |
A logical vector required for further internal computations. |
OnatC: |
A logical vector required for further internal computations. |
RHC: |
A logical vector required for further internal computations. |
obj: |
The argument ' |
cl: |
Object of mode "call". |
Oualid Bada
Ahn, S. C., Horenstein, A. R. 2013 “Eigenvalue ratio test for the number of factors”, Econometrica
Bai, J., 2009 “Panel data models with interactive fixed effects”, Econometrica
Bai, J. 2004 “Estimating cross-section common stochastic trends in nonstationary data”, Journal of Econometrics
Bai, J., Ng, S. 2009 “Determining the number of factors in approximated factor models”, Econometrica
Kneip, A., Sickles, R. C., Song, W., 2012 “A New Panel Data Treatment for Heterogeneity in Time Trends”, Econometric Theory
Onatski, A. 2010 “Determining the number of factors from empirical distribution of eigenvalues”, The Review of Economics and Statistics
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 | ## See the example in 'help(Cigar)' in order to take a look at the
## data set 'Cigar'
##########
## DATA ##
##########
data(Cigar)
N <- 46
T <- 30
## Data: Cigarette-Sales per Capita
l.Consumption <- log(matrix(Cigar$sales, T,N))
## Calculation is based on the covariance matrix of l.Consumption
OptDim(l.Consumption)
## Calculation is based on the correlation matrix of l.Consumption
OptDim(l.Consumption, standardize = TRUE)
## Display the magnitude of the eigenvalues in percentage of the total variance
plot(OptDim(l.Consumption))
|
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