Package: BTtest
Title: Estimate the Number of Factors in Large Nonstationary Datasets
Version: 0.10.1
Authors@R: 
    person("Paul", "Haimerl", , "paul.haimerl@maastrichtuniversity.nl", role = c("aut", "cre"),
           comment = c(ORCID = "0000-0003-3198-8317"))
Maintainer: Paul Haimerl <paul.haimerl@maastrichtuniversity.nl>
Description: 
  Large panel data sets are often subject to common trends. However, it can be difficult to determine the exact number of these common factors and analyse their properties.
  The package implements the Barigozzi and Trapani (2022) <doi:10.1080/07350015.2021.1901719> test, which not only provides an efficient way of estimating the number of common factors in large nonstationary panel data sets, but also gives further insights on factor classes. The routine identifies the existence of (i) a factor subject to a linear trend, (ii) the number of zero-mean I(1) and (iii) zero-mean I(0) factors.
  Furthermore, the package includes the Integrated Panel Criteria by Bai (2004) <doi:10.1016/j.jeconom.2003.10.022> that provide a complementary measure for the number of factors.
License: MIT + file LICENSE
Encoding: UTF-8
BugReports: https://github.com/Paul-Haimerl/BTtest/issues
RoxygenNote: 7.2.3
URL: https://github.com/Paul-Haimerl/BTtest
Imports: Rcpp
LinkingTo: Rcpp, RcppArmadillo
NeedsCompilation: yes
Packaged: 2024-01-11 16:51:36 UTC; PaulAdmin
Author: Paul Haimerl [aut, cre] (<https://orcid.org/0000-0003-3198-8317>)
Repository: CRAN
Date/Publication: 2024-01-11 17:10:02 UTC
Built: R 4.2.3; aarch64-apple-darwin20; 2024-01-11 18:42:41 UTC; unix
Archs: BTtest.so.dSYM
