hl.factor.number {fnets} | R Documentation |
Factor number estimator of Hallin and Liška (2007)
Description
Estimates the number of factors by minimising an information criterion over sub-samples of the data.
Currently the three information criteria proposed in Hallin and Liška (2007) (ic.op = 1, 2
or 3
)
and their variations with logarithm taken on the cost (ic.op = 4, 5
or 6
) are implemented,
with ic.op = 5
recommended as a default choice based on numerical experiments.
Usage
hl.factor.number(x, q.max = NULL, mm = NULL, center = TRUE)
Arguments
x |
input time series matrix, with each row representing a variable |
q.max |
maximum number of factors; if |
mm |
a positive integer specifying the kernel bandwidth for dynamic PCA; by default, it is set to |
center |
whether to de-mean the input |
Details
See Hallin and Liška (2007) for further details.
Value
a list containing
q.hat |
a vector containing minimisers of the six information criteria |
References
Hallin, M. & Liška, R. (2007) Determining the number of factors in the general dynamic factor model. Journal of the American Statistical Association, 102(478), 603–617.