QD Data Set

fbi-package

R Documentation

Factor-Based Imputation and FRED-MD/QD Data Set

Description

The fbi package contains functions to estimate factor models and impute missing data based on factor models. It also includes functions to load and prepare the FRED-MD/QD data set.

Details

See vignette("factor_fred", package = "fbi") for an example using the FRED-MD dataset (https://research.stlouisfed.org/econ/mccracken/fred-databases/).

Author(s)

Yankang (Bennie) Chen <yankang.chen@yale.edu>

Serena Ng <serena.ng@columbia.edu>

Jushan Bai <jushan.bai@columbia.edu>

References

Jushan Bai and Serena Ng (2002), Determining the number of factors in approximate factor models. https://onlinelibrary.wiley.com/doi/pdf/10.1111/1468-0262.00273

Jushan Bai and Serena Ng (2019), Rank regularized estimation of approximate factor models. https://doi.org/10.1016/j.jeconom.2019.04.021

Jushan Bai and Serena Ng (2021), Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. https://www.tandfonline.com/doi/full/10.1080/01621459.2021.1967163

Ercument Cahan, Jushan Bai, and Serena Ng (2021), Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. https://arxiv.org/abs/2103.03045

cykbennie/fbi documentation built on Jan. 24, 2025, 5:59 p.m.