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. "
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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