Determining the Number of Factors in Approximate Factor Models

By Bai Jushan and Ng Serena
Econometrica (2002)

  • Christophe Hurlin

    University of Orléans

    France

Created

September 30, 2013

Last update

September 30, 2013

Software

Matlab

Ranking

11

Visits

5999

Downloads

782

Description

This code computes the various panel criteria proposed by Bai and Ng (2002) to determine the number of factors in a multifactor model of large dimension. The required inputs simply consist in the (T,N) matrix of data (where T is the time dimension and N is the cross-section dimension) and the maximum number of potential factors considered. The codes computes the IC1, IC2, IC3, PC1, PC2, PC3, BIC3 (only BIC criteria function of N and T) and AIC3 (only AIC criteria function of N and T) criteria.

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