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>).

Package details

AuthorYujung Hwang [aut, cre] (<https://orcid.org/0000-0002-8136-8987>)
MaintainerYujung Hwang <yujungghwang@gmail.com>
Package repositoryView on CRAN
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factormodel documentation built on June 4, 2021, 9:07 a.m.