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BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas

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  • Tom Doan

    () (Estima)

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Abstract

Estimates 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 Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00012.

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Programming language: RATS
Requires: RATS 7.30
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Handle: RePEc:boc:bocode:rts00012

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Keywords: Factor models;

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