getK {sufficientForecasting}

Estimate the number of common factors K

Description

Estimate the number of common factors K

Usage

getK(y, X, Kmax = 12)

Arguments

y

Response, T by 1 vector

X

Predictors, p by T matrix

Kmax

A prescribed upper bound that possibly increases with p and T (default = 12)

Value

Estimate of K

References

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

Li, H., Li, Q. and Shi, Y. (2017), Determining the number of factors when the number of factors can increase with sample size, Journal of Econometrics 197(1), 76–86.