Panel data econometrics: common factor analysis for empirical researchers
2.4.2 Hierarchical factor model3 Factor number identification; 3.1 A step-by-step procedure for determining the factor number; 3.2 Information criteria and alternative methods; 3.3 Standardization and prewhitening; 3.4 Practice: factor number estimation; 3.4.1 STATA practice with crime rates; 3.4.2 STATA practice with price indices; 3.4.3 Practice with GAUSS; 3.4.4 Practice with MATLAB; 4 Decomposition of panel: estimation of common and idiosyncratic components; 4.1 Measurement of accuracy: order in probability; 4.2 Estimation of the common factors
