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>).
Last updated 3 years ago
4.65 score 3 stars 1 packages 4 scripts 235 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.
Last updated 3 years ago
3.70 score 5 scripts 227 downloads