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>).
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4.78 score 4 stars 1 dependents 4 scripts 277 downloadsbndovb - Bounding Omitted Variable Bias Using Auxiliary Data
Functions to implement a Hwang(2021) <doi:10.2139/ssrn.3866876> estimator, which bounds an omitted variable bias using auxiliary data.
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3.70 score 1 stars 5 scripts 265 downloads