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Hi

Does anyone have any peice of code/add-in for:

i) Bai and Ng (2002) Determining the number of factors in approximate factor models, Econometrica

and/or

ii) Bai and Ng (2007) Determining the number of primitive shocks in factor models, Journal of Business & Economic Statistics

I am mostly interested in the latter.

If anyone has anything and wants to share I would appreciate it.

Cheers

Hi there,I am excited to know that someone out there is also interested in these two papers. Now I am working on the same thing, I am wondering whether you got the code for these two papers. If yes, would you mind sharing it with me. Any help is appreciated.