| Name : R-BTtest
| |
| Version : 0.10.3
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : 1.1
| Date : 2024-09-10 01:05:55
|
| Group : Development/Libraries/Other
| Source RPM : R-BTtest-0.10.3-1.1.src.rpm
|
| Size : 0.18 MB
| |
| Packager : (none)
| |
| Summary : Estimate the Number of Factors in Large Nonstationary Datasets
|
Description :
Large panel data sets are often subject to common trends. However, it
can be difficult to determine the exact number of these common factors
and analyse their properties. The package implements the Barigozzi and
Trapani (2022) < doi:10.1080/07350015.2021.1901719> test, which not only
provides an efficient way of estimating the number of common factors in
large nonstationary panel data sets, but also gives further insights on
factor classes. The routine identifies the existence of (i) a factor
subject to a linear trend, (ii) the number of zero-mean I(1) and (iii)
zero-mean I(0) factors. Furthermore, the package includes the
Integrated Panel Criteria by Bai (2004)
< doi:10.1016/j.jeconom.2003.10.022> that provide a complementary
measure for the number of factors.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/x86_64 |
