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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>).
Getting started
Browse package contents
Package details |
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| Author | Yujung Hwang [aut, cre] (<https://orcid.org/0000-0002-8136-8987>) |
| Maintainer | Yujung Hwang <yujungghwang@gmail.com> |
| License | GPL-3 |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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