cykbennie/fbi: Factor-Based Imputation and FRED-MD/QD Data Set

Factor-Based imputation of missing values in panel data and manipulation of the FRED-MD/QD Data Set. It estimates the factor model in the panel data based on the methods in Bai and Ng (2002) <doi:10.1111/1468-0262.00273> and Bai and Ng (2019) <doi:10.1016/j.jeconom.2019.04.021>. It then computes the missing values using the Tall-Wide method (Bai and Ng (2021) <doi:10.1080/01621459.2021.1967163>) or the Tall-Project method (Cahan, Bai, and Ng (2021)<arXiv:2103.03045>). It also facilitates loading, preparing, and interpreting the FRED-MD/QD data set <https://research.stlouisfed.org/econ/mccracken/fred-databases>.

install.packages("remotes")
remotes::install_github("cykbennie/fbi")