BS_global_loading {GCCfactor}

Get a bootstrap confidence interval for the global factor loadings

Description

This function employs a bootstrap procedure to obtain confidence intervals for the global factor loadings for the j-th individual in block i. See Lin and Shin (2023) for details.

Usage

BS_global_loading(object, i, j, BB = 599, alpha = 0.05)

Arguments

object

An S3 object of class 'multi_result' created by [multilevel()].

i

An integer indicating the i-th block.

j

An integer indicating the j-th individual in the i-th block.

BB

An integer indicating the number of bootstrap repetition. 599 by default.

alpha

The significance level, a single numeric between 0 and 1. 0.05 by default.

Value

A matrix containing the upper and lower band.

References

Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
bs_gamma_11 <- BS_global_loading(est_multi, i = 1, j = 1)