A module for the Julia language that implements several statistical tests from the literature on common factor models (or approximate factor models).
Bai, Ng (2002) "Determining the Number of Factors in Approximate Factor Models" Econometrica
Bai, Ng (2006) "Evaluating Latent and Observed Factors in Macroeconomics and Finance" Journal of Econometrics
This package is in a first draft state.
For determining the number of factors, use
?numfactor at the REPL to see the function documentation, and
?NumFactor to see documentation on the ouput type of the function.
For evaluating observed factors use
testobsfactor at the REPL to see the function documenation, and
?ObsFactorTest to see documentation on the output type of the function.
over 2 years ago