res_overlay.twtp: Residual Overlay

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

Residual Overlay

Description

res_overlay.twtp estimates the covariance and correlation matrix of the unbalanced panel data using the method of residual overlay.

Usage

res_overlay.twtp(object, method = 1, S = 500)

Arguments

object	an object of class 'tw' or 'tp', i.e. the output of tw_apc or tp_apc.
method	integer 1 to 4, indicating which residual overlay method to use. They correspond to the four methods described in the paper.
S	the number of iterations.

Value

a list of elements:

method	the method of residual overlay
S	the number of iterations
cov	estimated covariance matrix
cor	estimated correlation matrix

Author(s)

Yankang (Bennie) Chen <[e-mail]>

Serena Ng <[e-mail]>

Jushan Bai <[e-mail]>

References

Cahan, E., Bai, J. and Ng, S. 2019, Factor Based Imputation of Missing Data and Covariance Matrix Estimation. unpublished manuscript, Columbia University

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