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XTNUMFAC: Stata module to estimate the number of factors in panel data

Author

Listed:
  • Jan Ditzen

    (Free University of Bozen-Bolzano)

  • Simon Reese

    (Lund University)

Programming Language

Stata

Abstract

xtnumfac estimates the number of common factors in panel datasets using the methods of Bai and Ng (2002), Ahn and Horenstein (2013) Onatski (2010) and Gagliardini et al. (2019). The methods in Bai and Ng (2002) are based on six information criteria, while Ahn and Horenstein (2013) propose two estimation methods. Onatski (2010) and Gagliardini et al. (2019) contribute a single estimator each.

Suggested Citation

  • Jan Ditzen & Simon Reese, 2022. "XTNUMFAC: Stata module to estimate the number of factors in panel data," Statistical Software Components S459053, Boston College Department of Economics, revised 03 Dec 2023.
    • Handle: RePEc:boc:bocode:s459053
    Note: This module should be installed from within Stata by typing "ssc install xtnumfac". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnumfac.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnumfac.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtnumfac_example.do
    File Function: sample do-file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/k/KPR2021_hpdata.dta
    File Function: sample data file
    Download Restriction: no
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