Type: Package
Title: Group Factor Analysis
Date: 2024-12-15
Version: 0.2.1
Author: Jiaqi Hu [cre, aut], Ting Li [aut], Xueqin Wang [aut]
Maintainer: Jiaqi Hu <hujiaqi@mail.ustc.edu.cn>
Description: Several group factor analysis algorithms are implemented, including Canonical Correlation-based Estimation by Choi et al. (2021) <doi:10.1016/j.jeconom.2021.09.008> , Generalised Canonical Correlation Estimation by Lin and Shin (2023) <doi:10.2139/ssrn.4295429>, Circularly Projected Estimation by Chen (2022) <doi:10.1080/07350015.2022.2051520>, and Aggregated projection method.
Imports: mvtnorm
Depends: R (≥ 3.5.0)
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.2.3
LazyData: true
NeedsCompilation: no
Packaged: 2024-12-22 06:47:58 UTC; hujiaqi
Repository: CRAN
Date/Publication: 2024-12-22 07:00:02 UTC

Aggregated Projection Method

Description

Aggregated Projection Method

Usage

APM(y, rmax = 8, r0 = NULL, r = NULL, localfactor = FALSE, weight = TRUE,
      method = "ic", type = "IC3")

Arguments

y

a list of the observation data, each element is a data matrix of each group with dimension T * N_m.

rmax

the maximum factor numbers of all groups.

r0

the number of global factors, default is NULL, the algorithm will automatically estimate the number of global factors. If you have the prior information about the true number of global factors, you can set it by your own.

r

the number of local factors in each group, default is NULL, the algorithm will automatically estimate the number of local factors. If you have the prior information about the true number of local factors, you can set it by your own, notice it should be an integer vector of length M (the number of groups).

localfactor

if localfactor = FALSE, then we would not estimate the local factors; if localfactor = TRUE, then we will further estimate the local factors.

weight

the weight of each projection matrix, default is TRUE, means w_m = N_m/N, if weight = FALSE, then simply calculate the mean of all projection matrices.

method

the method used in the algorithm, default is ic, it can also be gap.

type

the method used in estimating the factor numbers in each group initially, default is IC3

Value

r0hat

the estimated number of the global factors.

rho

the estimated number of the local factors.

Ghat

the estimated global factors.

loading_G

a list consisting of the estimated global factor loadings.

Fhat

the estimated local factors.

loading_F

a list consisting of the estimated local factor loadings.

e

a list consisting of the residuals.

threshold

the threshold used in determining the number of global factors, only for method = ic.

Examples

dat = gendata()
dat
APM(dat$y, rmax = 8, localfactor = TRUE, method = "ic")
APM(dat$y, rmax = 8, localfactor = TRUE, method = "gap")

Canonical Correlation Estimation

Description

Canonical Correlation Estimation

Usage

CCA(y, rmax = 8, r0 = NULL, r = NULL, localfactor = FALSE, method = "CCD", type = "IC3")

Arguments

y

a list of the observation data, each element is a data matrix of each group with dimension T * N_m.

rmax

the maximum factor numbers of all groups.

r0

the number of global factors, default is NULL, the algorithm will automatically estimate the number of global factors. If you have the prior information about the true number of global factors, you can set it by your own.

r

the number of local factors in each group, default is NULL, the algorithm will automatically estimate the number of local factors. If you have the prior information about the true number of local factors, you can set it by your own, notice it should be an integer vector of length M (the number of groups).

localfactor

if localfactor = FALSE, then we would not estimate the local factors; if localfactor = TRUE, then we will further estimate the local factors.

method

the method used in the algorithm, default is CCD, it can also be MCC.

type

the method used in estimating the factor numbers in each group initially, default is IC3.

Value

r0hat

the estimated number of the global factors.

rho

the estimated number of the local factors.

Ghat

the estimated global factors.

Fhat

the estimated local factors.

loading_G

a list consisting of the estimated global factor loadings.

loading_F

a list consisting of the estimated local factor loadings.

e

a list consisting of the residuals.

threshold

the threshold used in determining the number of global factors, only for method = "MCC".

References

Choi, I., Lin, R., & Shin, Y. (2021). Canonical correlation-based model selection for the multilevel factors. Journal of Econometrics.

Examples

dat = gendata()
dat
CCA(dat$y, rmax = 8, localfactor = TRUE, method = "CCD")
CCA(dat$y, rmax = 8, localfactor = TRUE, method = "MCC")

Circularly Projected Estimation

Description

Circularly Projected Estimation

Usage

CP(y, rmax = 8, r0 = NULL, r = NULL, localfactor = FALSE, type = "IC3")

Arguments

y

a list of the observation data, each element is a data matrix of each group with dimension T * N_m.

rmax

the maximum factor numbers of all groups.

r0

the number of global factors, default is NULL, the algorithm will automatically estimate the number of global factors. If you have the prior information about the true number of global factors, you can set it by your own.

r

the number of local factors in each group, default is NULL, the algorithm will automatically estimate the number of local factors. If you have the prior information about the true number of local factors, you can set it by your own, notice it should be an integer vector of length M (the number of groups).

localfactor

if localfactor = FALSE, then we would not estimate the local factors; if localfactor = TRUE, then we will further estimate the local factors.

type

the method used in estimating the local factor numbers in each group after projecting out the global factors, default is IC3.

Value

r0hat

the estimated number of the global factors.

rho

the estimated number of the local factors.

Ghat

the estimated global factors.

Fhat

the estimated local factors.

loading_G

a list consisting of the estimated global factor loadings.

loading_F

a list consisting of the estimated local factor loadings.

e

a list consisting of the residuals.

References

Chen, M. (2023). Circularly Projected Common Factors for Grouped Data. Journal of Business & Economic Statistics, 41(2), 636-649.

Examples

dat = gendata()
dat
CP(dat$y, rmax = 8, localfactor = TRUE)

Factor analysis

Description

Factor analysis.

Usage

FA(X, r)

Arguments

X

the observation data matrix of dimension T\times N.

r

the factor numbers need to estimated.

Value

F

the estimated factors.

L

the estimated factor loadings.

Author(s)

Jiaqi Hu

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Generalised Canonical Correlation

Description

Generalised Canonical Correlation

Usage

GCC(y, rmax = 8, r0 = NULL, r = NULL, localfactor = FALSE, type = "IC3")

Arguments

y

a list of the observation data, each element is a data matrix of each group with dimension T * N_m.

rmax

the maximum factor numbers of all groups.

r0

the number of global factors, default is NULL, the algorithm will automatically estimate the number of global factors. If you have the prior information about the true number of global factors, you can set it by your own.

r

the number of local factors in each group, default is NULL, the algorithm will automatically estimate the number of local factors. If you have the prior information about the true number of local factors, you can set it by your own, notice it should be an integer vector of length M (the number of groups).

localfactor

if localfactor = FALSE, then we would not estimate the local factors; if localfactor = TRUE, then we will further estimate the local factors.

type

the method used in estimating the factor numbers in each group initially, default is IC3.

Value

r0hat

the estimated number of the global factors.

rho

the estimated number of the local factors.

Ghat

the estimated global factors.

Fhat

the estimated local factors.

loading_G

a list consisting of the estimated global factor loadings.

loading_F

a list consisting of the estimated local factor loadings.

e

a list consisting of the residuals.

References

Lin, R., & Shin, Y. (2023). Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.

Examples

dat = gendata()
dat
GCC(dat$y, rmax = 8, localfactor = TRUE)

Trace ratio

Description

Evaluation of the estimated factors by trace ratios, the values is between 0 and 1, higher values means better estimation.

Usage

TraceRatio(G, Ghat)

Arguments

G

the true factors.

Ghat

the estimated factors.

Value

trace ratio

defined as \mathrm{TR} = \mathrm{tr} ( \mathbf{G}' \widehat{\mathbf{G}} (\widehat{\mathbf{G}}'\widehat{\mathbf{G}})^{-1} \widehat{\mathbf{G}}'\mathbf{G})/\mathrm{tr}(\mathbf{G'G}).

Housing price data for 16 states in the U.S.

Description

This dataset contains the Zillow Home Value Index (ZHVI) at the county level for single-family residences and condos with 1, 2, 3, 4, or 5+ bedrooms. It focuses on the middle tier of home values (33rd to 67th percentile) and features smoothed, seasonally adjusted values presented on a monthly basis. The data spans 16 U.S. states from January 2000 to April 2023. Within each state, the data is organized as a matrix, and the data for all states is compiled into a list.

Usage

data("UShouseprice")

Format

The dataset is structured as a list containing 16 elements, with each element corresponding to a state. Each element is a matrix where the columns represent time series data for house prices at the county level. Each time series has a length of 280, representing monthly data points from January 2000 to April 2023. The number of columns in each matrix varies, ranging from 90 to 250, depending on the number of counties and bedroom categories in the state. The columns are labeled with the county name and bedroom count (e.g., “Pulaski County bd1” for one-bedroom homes or “Garland County bd5” for homes with five or more bedrooms). This structure provides a comprehensive and organized representation of the Zillow Home Value Index (ZHVI) across multiple counties and bedroom categories for the 16 states included in the dataset.

Details

The column names of the data matrix represent county names combined with bedroom counts. For example, "Pulaski County bd1" indicates the house price in Pulaski County for one-bedroom homes, while "Garland County bd5" refers to the house price in Garland County for homes with more than five bedrooms.

The abbreviations and full names of these 16 states are as follows:

AR: Arkansas

CA: California

CO: Colorado

FL: Florida

GA: Georgia

KY: Kentucky

MD: Maryland

MI: Michigan

NC: North Carolina

NJ: New Jersey

NY: New York

OH: Ohio

OK: Oklahoma

PA: Pennsylvania

TN: Tennessee

VA: Virginia

Source

The original data is downloaded from the website of Zillow.

Examples

data(UShouseprice)
log_diff = function(x){
  T = nrow(x)
  res = log(x[2:T,]/x[1:(T-1),])*100
  scale(res, center = TRUE, scale = TRUE)
}
UShouseprice1 = lapply(UShouseprice, log_diff)

Estimate factor numbers

Description

Estimate factor numbers.

Usage

est_num(X, kmax = 8, type = "BIC3")

Arguments

X

the observation data matrix of dimension T\times N.

kmax

the maximum number of factors.

type

the criterion used in determining the number of factors, default is type = "BIC3", it can also be "PC1", "PC2", "PC3", "IC1", "IC2","IC3", "AIC3", "BIC3", "ER", "GR".

Value

rhat

the estimated number of factors.

References

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Ahn, S. C., & Horenstein, A. R. (2013). Eigenvalue ratio test for the number of factors. Econometrica, 81(3), 1203-1227.

Generate the grouped data.

Description

Generate the grouped data.

Usage

gendata(seed = 1, T = 50, N = rep(30, 5), r0 = 2, r = rep(2, 5),
        Phi_G = 0.5, Phi_F = 0.5, Phi_e = 0.5, W_F = 0.5, beta = 0.2,
        kappa = 1, case = 1)

Arguments

seed

the seed used in set.seed.

T

the number of time points.

N

a vector representing the number of variables in each group.

r0

the number of global factors.

r

a vector representing the number of the local factors. Notice, the length of r is the same as N.

Phi_G

hyperparameter of the global factors, default is 0.5, the value should between 0 and 1.

Phi_F

hyperparameter of the local factors, default is 0.5, the value should between 0 and 1.

Phi_e

hyperparameter of the errors, default is 0.5, the value should between 0 and 1.

W_F

hyperparameter of the correlation of local factors, only applicable in case = 3, the value should between 0 and 1.

beta

hyperparameter of the errors, default is 0.2.

kappa

hyperparameter of signal to noise ratio, default is 1.

case

the case of the data-generating process, default is 1, it can also be 2 and 3.

Value

y

a list of the data.

G

the global factors.

F

a list of the local factors.

loading_G

the global factor loadings.

loading_F

the local factor loadings.

T

the number of time points.

N

a vector representing the number of variables in each group.

M

the number of groups.

r0

the number of global factors.

r

a vector representing the number of the local factors.

case

the case of the data-generating process.

Examples

dat = gendata()
dat

Print

Description

Print the summarized results of the estimated group factor model, such as the estimated global and local factors.

Usage

## S3 method for class 'GFA'
print(x, ...)

Arguments

x

the GFA object returned from the algorithm.

...

additional print arguments.

Value

No return value, called for side effects