Bai and Ng(2002) Test

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Bai and Ng(2002) Test

Postby uurak » Thu Aug 09, 2018 5:40 am


To determine the number of factors in FAVAR estimation, one way is to implement Bai & Ng (2002) test. But, is there any way or code to run the test in Eviews or in other software?

I found this code in the internet, but I'm not sure because he emphasizes panel data in the description below:
"This code computes the various panel criteria proposed by Bai and Ng (2002) to determine the number of factors in a multifactor model of large dimension. "


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