GCCfactor: GCC Estimation of the Multilevel Factor Model

Provides methods for model selection, estimation, bootstrap inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2023) <doi:10.2139/ssrn.4295429>.

Version: 1.0.1
Depends: R (≥ 2.10)
Imports: stats, stringr, sandwich
Suggests: parallel, plm
Published: 2023-10-30
Author: Rui Lin [aut, cre], Yongcheol Shin [aut]
Maintainer: Rui Lin <ruilin1081 at gmail.com>
License: GPL (≥ 3)
NeedsCompilation: no
CRAN checks: GCCfactor results

Documentation:

Reference manual: GCCfactor.pdf

Downloads:

Package source: GCCfactor_1.0.1.tar.gz
Windows binaries: r-devel: GCCfactor_1.0.1.zip, r-release: GCCfactor_1.0.1.zip, r-oldrel: GCCfactor_1.0.1.zip
macOS binaries: r-release (arm64): GCCfactor_1.0.1.tgz, r-oldrel (arm64): GCCfactor_1.0.1.tgz, r-release (x86_64): GCCfactor_1.0.1.tgz
Old sources: GCCfactor archive

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