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st: Determining the number of factors in factor models


From   Estrella Gomez <estrellastata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Determining the number of factors in factor models
Date   Thu, 26 Jan 2012 12:22:35 +0100

Hi, statalisters

Does anybody know if there is some command in Stata to calculate the
number of factors in a factor model? I have found a code for the
procedure that Bai and Ng (2002) implements in their article
"Determining the number of factors in approximate factor models", but
it is written for MatLab and I do not know how to translate it to
Stata. Could anybody help me?

Thank you very much
Estrella
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