GCCfactor (Q5980481)
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GCC Estimation of the Multilevel Factor Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GCCfactor |
GCC Estimation of the Multilevel Factor Model |
Statements
Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) <doi:10.2139/ssrn.4295429>.
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30 October 2023
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