GCC Estimation of the Multilevel Factor Model

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Documentation for package ‘GCCfactor’ version 1.0.1

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AsymCI_local_loading Get an asymptotic confidence interval for the local component
Bartlett Bartlett kernel function
BS_global_comp Get a bootstrap confidence interval for the global component
BS_global_factor Get bootstrap confidence intervals for the global factors
BS_global_loading Get a bootstrap confidence interval for the global factor loadings
BS_local_comp Get a bootstrap confidence interval for the global component
BS_local_factor Get a bootstrap confidence interval for the local factors
check_data Check validity of the data and headers
dwBS Dependent wild bootstrap for resampling time series
GCC Generalised canonical correlation estimation for the global factors
get_bw Get an optimal bandwidth using Bartlett kernel
infocrit Selection criteria for the approximate factor model
multilevel Full estimation of the multilevel factor model
panel2list data.frame to list of data matrices
PC Principal component (PC) estimation of the approximate factor model
summary.multi_result Print the relative importance ratios
UKhouse England and Wales House Price Growth Data Categorised by Regions