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Generalized Synthetic Control Method
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PC criterion of factor selection #24

Open aghosh19 opened 5 years ago

aghosh19 commented 5 years ago

Hi, is the PC criterion in the cross validation, Principal Component criterion of factor selection? Is there an order in which the factor number is selected? That is, min MSPE> min PC> min IC? The vignette is not very specific on this. Thank you very much.

xuyiqing commented 5 years ago

PC is a finite sample corrected information criterion. Whether PC or MSPE is better is still under investigation. Licheng, could you update a version in which users can choose which criterion to use? The default should still be MSPE.

Best, Yiqing

On Thu, Mar 7, 2019 at 10:26 AM aghosh19 notifications@github.com wrote:

Hi, is the PC criterion in the cross validation, Principal Component criterion of factor selection? Is there an order in which the factor number is selected? That is, min MSPE> min PC> min IC? The vignette is not very specific on this. Thank you very much.

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