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Found 6 papers, 1 papers with code
Efficiency of QMLE for dynamic panel data models with interactive effects
This paper derives the efficiency bound for estimating the parameters of dynamic panel data models in the presence of an increasing number of incidental parameters.
Likelihood ratio test for structural changes in factor models
This paper considers the likelihood ratio (LR) test for a variance change in the estimated factors.
Approximate Factor Models with Weaker Loadings
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis.
Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
Economists are blessed with a wealth of data for analysis, but more often than not, values in some entries of the data matrix are missing.
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
This paper estimates the break point for large-dimensional factor models with a single structural break in factor loadings at a common unknown date.
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
This paper proposes an imputation procedure that uses the factors estimated from a tall block along with the re-rotated loadings estimated from a wide block to impute missing values in a panel of data.
