se0: Standard Error of Selected Points (APC)

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

Standard Error of Selected Points (APC)

Description

se0 produces the estimated standard error of C^hat produced by the apc function.

Usage

se0(object, npoints, tpoints, qq)

Arguments

object	an object produced by the apc function.
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.

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
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 <[e-mail]>

Serena Ng <[e-mail]>

Jushan Bai <[e-mail]>

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.