GCC Estimation of the Multilevel Factor Model
Check validity of the data and headers
Generalised canonical correlation estimation for the global factors
Selection criteria for the approximate factor model
Full estimation of the multilevel factor model
data.frame to list of data matrices
Principal component (PC) estimation of the approximate factor model
Print the relative importance ratios
Get the variance estimates of the global component
Get the covariance estimates for the global factors
Get the covariance estimates for the global factor loadings
Get the variance estimates of the local component
Get the covariance estimates for the local factors
Get the covariance estimates for the local factor loadings
POET estimation of the covariance for the error terms
Provides methods for model selection, estimation, inference, and simulation for the multilevel factor model, based on the principal component estimation and generalised canonical correlation approach. Details can be found in "Generalised Canonical Correlation Estimation of the Multilevel Factor Model." Lin and Shin (2025) <doi:10.2139/ssrn.4295429>.