Bai and Ng (2002,2004) common & idiosyncratic factors

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Bai and Ng (2002,2004) common & idiosyncratic factors

Postby cmsandov » Wed Mar 15, 2017 5:11 pm

Hi there, I hope you are keeping well.

Please, I need help regarding the following codes:

i) Bai, J. y S. Ng (2002). “Determining the Number of Factors in Approximate Factor Models.” Econometrica 70(1): 191-221


ii) Bai, J. y S. Ng (2004). “A PANIC Attack on Unit Roots and Cointegration.” Econometrica 72(4): 1127-77

If any of you have a code/add-in, I would appreciate your support.

Thanks a lot.
All the best,

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