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

Author

Listed:
  • Tom Doan

    () (Estima)

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.

Suggested Citation

  • Tom Doan, "undated". "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00012
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    Keywords

    Factor models;

    JEL classification:

    • 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; Spatio-temporal Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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