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st: Determining the number of factors in factor models
From
Estrella Gomez <[email protected]>
To
[email protected]
Subject
st: Determining the number of factors in factor models
Date
Thu, 26 Jan 2012 12:22:35 +0100
Hi, statalisters
Does anybody know if there is some command in Stata to calculate the
number of factors in a factor model? I have found a code for the
procedure that Bai and Ng (2002) implements in their article
"Determining the number of factors in approximate factor models", but
it is written for MatLab and I do not know how to translate it to
Stata. Could anybody help me?
Thank you very much
Estrella
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