GCC Estimation of the Multilevel Factor Model

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) .

GCCfactor

The goal of GCCfactor is to implement estimation, model selection, and inference, as developed in "Generalised canonical correlation estimation of the multilevel factor model".

If you encounter a bug, please file an issue on the GitHub Issues page.

Installation

You can install the development version of GCCfactor from GitHub with:

# install.packages("pak")
pak::pak("rl1081/GCCfactor")

or install from CRAN:

install.packages("GCCfactor")

Example

library(GCCfactor)

panel <- UKhouse 
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                        overestimate = TRUE, depvar_header = "dlPrice", 
                        i_header = "Region", j_header = "LPA_Type", t_header = "Date")