factorselect: Eigenvalue-Based Estimation of the Number of Factors in Approximate Factor Models
Eigenvalue-based estimation of the number of factors in approximate factor models. Designed to work when either N or T is large, without requiring both dimensions to grow simultaneously. Implements the eigenvalue ratio estimator of Ahn and Horenstein (2013) <doi:10.3982/ECTA8968>, the information criteria of Bai and Ng (2002) <doi:10.1111/1468-0262.00273>, the tuned penalty of Alessi, Barigozzi and Capasso (2010) <doi:10.1016/j.spl.2010.08.005>, the auto-covariance ratio estimator of Lam and Yao (2012) <doi:10.1214/12-AOS970>, and the edge distribution estimators of Onatski (2009) <doi:10.3982/ECTA6964> and Onatski (2010) <doi:10.1162/REST_a_00043>.
| Version: | 0.1.3 |
| Suggests: | RSpectra, testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-04-28 |
| DOI: | 10.32614/CRAN.package.factorselect |
| Author: | Jason Parker 
[aut, cre] |
| Maintainer: | Jason Parker <jparker588 at gmail.com> |
| BugReports: | https://github.com/penny4nonsense/factorselect/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/penny4nonsense/factorselect |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | factorselect results |
Documentation:
| Reference manual: | factorselect.html , factorselect.pdf |
| Vignettes: |
Introduction to factorselect (source, R code) |
Downloads:
| Package source: | factorselect_0.1.3.tar.gz |
| Windows binaries: | r-devel: factorselect_0.1.3.zip, r-release: factorselect_0.1.3.zip, r-oldrel: factorselect_0.1.3.zip |
| macOS binaries: | r-release (arm64): factorselect_0.1.3.tgz, r-oldrel (arm64): factorselect_0.1.3.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available |
Linking:
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