Package: GCCfactor 1.0.1

GCCfactor: GCC Estimation of the Multilevel Factor Model

Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) <doi:10.2139/ssrn.4295429>.

Authors:Rui Lin [aut, cre], Yongcheol Shin [aut]

GCCfactor_1.0.1.tar.gz
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GCCfactor.pdf |GCCfactor.html✨
GCCfactor/json (API)

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15 exports 0.23 score 11 dependencies 195 downloads

Last updated 11 months agofrom:d928294161. Checks:OK: 7. Indexed: yes.

Exports:AsymCI_local_loadingBartlettBS_global_compBS_global_factorBS_global_loadingBS_local_compBS_local_factorcheck_datadwBSGCCget_bwinfocritmultilevelpanel2listPC

Dependencies:cligluelatticelifecyclemagrittrrlangsandwichstringistringrvctrszoo