BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas
AbstractEstimates the required number of factors in a linear factor model using the formulas in Bai and Ng(2002), "Determining the Number of Factors in Approximate Factor Models", Econometrica, vol 70, 191-221.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00012.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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Other versions of this item:
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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