abc.factor.number {fnets} | R Documentation |
Factor number estimator of Alessi, Barigozzi and Capasso (2010)
Description
Estimates the number of factors by minimising an information criterion over sub-samples of the data.
Currently the three information criteria proposed in Alessi, Barigozzi and Capasso (2010) (ic.op = 1, 2, 3
)
and their variations with logarithm taken on the cost (ic.op = 4, 5, 6
) are implemented,
with ic.op = 5
recommended as a default choice based on numerical experiments.
Usage
abc.factor.number(x, covx = NULL, q.max = NULL, center = TRUE)
Arguments
x |
input time series matrix, with each row representing a variable |
covx |
covariance of |
q.max |
maximum number of factors; if |
center |
whether to de-mean the input |
Details
See Alessi, Barigozzi and Capasso (2010) for further details.
Value
a list containing
q.hat |
the mimimiser of the chosen information criteria |
References
Alessi, L., Barigozzi, M., & Capasso, M. (2010) Improved penalization for determining the number of factors in approximate factor models. Statistics & Probability Letters, 80(23-24):1806–1813.