est_num {GrFA}

Estimate factor numbers

Description

Estimate factor numbers.

Usage

est_num(X, kmax = 8, type = "BIC3")

Arguments

X

the observation data matrix of dimension T\times N.

kmax

the maximum number of factors.

type

the criterion used in determining the number of factors, default is type = "BIC3", it can also be "PC1", "PC2", "PC3", "IC1", "IC2","IC3", "AIC3", "BIC3", "ER", "GR".

Value

rhat

the estimated number of factors.

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Ahn, S. C., & Horenstein, A. R. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81(3), 1203-1227.