Package: BTtest 0.10.3

Paul Haimerl

BTtest: Estimate the Number of Factors in Large Nonstationary Datasets

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.

Authors:Paul Haimerl [aut, cre]

BTtest_0.10.3.tar.gz
BTtest_0.10.3.zip(r-4.5)BTtest_0.10.3.zip(r-4.4)BTtest_0.10.3.zip(r-4.3)
BTtest_0.10.3.tgz(r-4.4-x86_64)BTtest_0.10.3.tgz(r-4.4-arm64)BTtest_0.10.3.tgz(r-4.3-x86_64)BTtest_0.10.3.tgz(r-4.3-arm64)
BTtest_0.10.3.tar.gz(r-4.5-noble)BTtest_0.10.3.tar.gz(r-4.4-noble)
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BTtest.pdf |BTtest.html
BTtest/json (API)
NEWS

# Install 'BTtest' in R:
install.packages('BTtest', repos = c('https://paul-haimerl.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/paul-haimerl/bttest/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library

On CRAN:

common-trendsnonstationary-panels

4.04 score 2 stars 4 scripts 211 downloads 3 exports 2 dependencies

Last updated 2 months agofrom:b5a4ae8252. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 28 2024
R-4.5-win-x86_64OKOct 28 2024
R-4.5-linux-x86_64OKOct 28 2024
R-4.4-win-x86_64OKOct 28 2024
R-4.4-mac-x86_64OKOct 28 2024
R-4.4-mac-aarch64OKOct 28 2024
R-4.3-win-x86_64OKOct 28 2024
R-4.3-mac-x86_64OKOct 28 2024
R-4.3-mac-aarch64OKOct 28 2024

Exports:BaiIPCBTtestsim_DGP

Dependencies:RcppRcppArmadillo