QD Data Set

se.tw

R Documentation

Standard Error of Selected Points (TW)

Description

se.tw produces the estimated standard error of C^hat produced by the tw_apc function.

Usage

se.tw(object, npoints, tpoints, qq, re_estimate)

Arguments

`object`	an object of class 'tw'.
`npoints`	integer or vector of integers, indicating i of the (i,t) pair(s) of interest.
`tpoints`	integer or vector of integers, indicating t of the (i,t) pair(s) of interest.
`qq`	placeholder.
`re_estimate`	logical. If 'FALSE', use first pass estimation. If 'TRUE', use re-estimation.

Value

a list of elements:

`tpoints`	t's of the (i,t) pair(s) of interest
`npoints`	i's of the (i,t) pair(s) of interest
`re_estimate`	logical. If 'FALSE', use first pass estimation; if 'TRUE', use re-estimation.
`Fhat`	estimated F
`Lamhat`	estimated Lambda
`Chat`	euqals Fhat x Lamhat'
`SigmaC`	estimated variance of C
`SigmaF`	estimated variance of F
`SigmaL`	estimated variance of L

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://doi.org/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.