Package: factormodel 1.0

factormodel: Factor Model Estimation Using Proxy Variables

Functions to estimate a factor model using discrete and continuous proxy variables. The function 'dproxyme' estimates a factor model of discrete proxy variables using an EM algorithm (Dempster, Laird, Rubin (1977) <doi:10.1111/j.2517-6161.1977.tb01600.x>; Hu (2008) <doi:10.1016/j.jeconom.2007.12.001>; Hu(2017) <doi:10.1016/j.jeconom.2017.06.002> ). The function 'cproxyme' estimates a linear factor model (Cunha, Heckman, and Schennach (2010) <doi:10.3982/ECTA6551>).

Authors:Yujung Hwang [aut, cre]

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Peer review:

Bug tracker:https://github.com/yujunghwang/factormodel/issues

On CRAN:

5 exports 3 stars 1.19 score 19 dependencies 1 dependents 4 scripts 296 downloads

Last updated 3 years agofrom:1f3f0fc544. Checks:OK: 1 NOTE: 6. Indexed: yes.

Exports:cproxymedproxymemakeDummyweighted.covweighted.var

Dependencies:clidplyrfansigenericsgluegtoolslifecyclemagrittrnnetpillarpkgconfigpracmaR6rlangtibbletidyselectutf8vctrswithr