Introduction | Simulating Factor Model Data | The Recommended Estimator: Ahn & Horenstein (2013) | Comparing All Estimators | Scree Plot | Finite Sample Performance | Notes on Individual Estimators | Bai & Ng (2002) and ABC (2010) | Lam & Yao (2012) | Onatski (2009) | Onatski (2010) | References
Package: factorselect 0.1.2
factorselect: Eigenvalue-Based Estimation of the Number of Factors in Approximate Factor Models
Eigenvalue-based estimation of the number of factors in approximate factor models. Designed to work when either N or T is large, without requiring both dimensions to grow simultaneously. Implements the eigenvalue ratio estimator of Ahn and Horenstein (2013) <doi:10.3982/ECTA8968>, the information criteria of Bai and Ng (2002) <doi:10.1111/1468-0262.00273>, the tuned penalty of Alessi, Barigozzi and Capasso (2010) <doi:10.1016/j.spl.2010.08.005>, the auto-covariance ratio estimator of Lam and Yao (2012) <doi:10.1214/12-AOS970>, and the edge distribution estimators of Onatski (2009) <doi:10.3982/ECTA6964> and Onatski (2010) <doi:10.1162/REST_a_00043>.
Authors:
factorselect_0.1.2.tar.gz
factorselect_0.1.2.zip(r-4.7)factorselect_0.1.2.zip(r-4.6)factorselect_0.1.2.zip(r-4.5)
factorselect_0.1.2.tgz(r-4.6-any)factorselect_0.1.2.tgz(r-4.5-any)
factorselect_0.1.2.tar.gz(r-4.7-any)factorselect_0.1.2.tar.gz(r-4.6-any)
factorselect_0.1.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
factorselect/json (API)
| # Install 'factorselect' in R: |
| install.packages('factorselect', repos = c('https://penny4nonsense.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/penny4nonsense/factorselect/issues
Last updated from:f0f08d5953. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 107 | ||
| source / vignettes | OK | 163 | ||
| linux-release-x86_64 | OK | 124 | ||
| macos-release-arm64 | OK | 137 | ||
| macos-oldrel-arm64 | OK | 142 | ||
| windows-devel | OK | 75 | ||
| windows-release | OK | 86 | ||
| windows-oldrel | OK | 74 | ||
| wasm-release | OK | 98 |
Exports:select_factorssimulate_factor_model
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Alessi, Barigozzi and Capasso (2010) Tuned Information Criteria | .abc |
| Ahn-Horenstein Eigenvalue Ratio Estimator | .ahn_horenstein |
| Bai and Ng (2002) Information Criteria for Number of Factors | .bai_ng |
| Extract Leading Eigenvalues from a Panel Data Matrix | .extract_eigenvalues |
| Lam and Yao (2012) Eigenvalue Ratio Estimator | .lam_yao |
| Onatski (2009) Test for the Number of Factors | .onatski_2009 |
| Onatski (2010) Edge Distribution Estimator | .onatski_2010 |
| Demean and Scale a Matrix for Factor Analysis | .prepare_matrix |
| Plot Method for factor_select Objects | plot.factor_select |
| Print Method for factor_select Objects | print.factor_select |
| Select the Number of Factors in an Approximate Factor Model | select_factors |
| Simulate Data from an Approximate Factor Model | simulate_factor_model |
| Summary Method for factor_select Objects | summary.factor_select |
