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.
Journal of Banking and Finance (2019)
Lakdawala Aeimit and Schaffer Matthew