BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates the required number of factors in a linear factor model using the formulas in Bai and Ng(2002), "Determining the Number of Factors in Approximate Factor Models", Econometrica, vol 70, 191-221.

Language: RATS
Requires: RATS 7.30
Keywords: Factor; models (search for similar items in EconPapers)
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Related works:
Journal Article: Determining the Number of Factors in Approximate Factor Models (2002)
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