GCCfactor

The goal of GCCfactor is to implement estimation, model selection, and inference, as developed in "Generalised canonical correlation estimation of the multilevel factor model".

If you encounter a bug, please file an issue on the GitHub Issues page.

Installation

You can install the development version of GCCfactor from GitHub with:

# install.packages("pak")
# pak::pak("rl1081/GCCfactor")
install.packages("GCCfactor", repos = c('https://rl1081.r-universe.dev', 'https://cloud.r-project.org'))

or install from CRAN:

install.packages("GCCfactor")

Example

library(GCCfactor)

panel <- UKhouse 
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                        overestimate = TRUE, depvar_header = "dlPrice", 
                        i_header = "Region", j_header = "LPA_Type", t_header = "Date")